Journal Information  ·  Mission  ·  Editorial Board  ·  Directory of Economists Submissions  ·  New Submission  ·  Submit a Revision Table of Contents  ·  Refereed Content            Notes            Comments            Preliminary Results  ·  Research       Announcements  ·  Letters to the Editor  ·  Conference       Announcements  ·  Search Email Notification Service and Directory of Research Economists  ·  Add me to Directory  ·  Modify my Profile General  ·  Submission Guidelines  ·  PDF Conversion  ·  Copyright  ·  Electronic Publishing  ·  Archiving  ·  Sponsors and       Endorsements  ·  Economic Links     Hideki Nishigaki "Relationship between the yen carry trade and the related financial variables" (2007, Vol. 13, No. 2.)     Recently, the yen carry trade has been focused on the international financial market. However, there are few empirical studies on the yen carry trade. This paper investigates the relationship between the yen carry trade and the related financial variables in the US and Japan by the structural vector autoregression (SVAR) model. Our estimation results show that the US stock price has a dominant impact on the activity of the speculative yen carry trade. On the other hand, we found that the interest rate differential between Japan and the US does not have a significant impact on the movement of the carry trade. This result shows that the Bank of Japanfs (BOJ) raising the key rate may not make the yen carry trade less attractive. Our results also indicate that if the carry trade unwinds, the depreciation of the dollar against the yen will take place.     Keywords :   SVAR, yen carry trade, yen futures contracts     Manuscript Received : 3/31/2007   Manuscript Accepted : 5/14/2007   This abstract has been downloaded 3500 times.