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The Impact of the Japanese Purchases of U.S. Treasuries on the Dollar/Yen Exchange Rate
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Andre Varella Mollick
Published/Copyright:
February 29, 2008
This article connects net Japanese purchases of U.S. Treasury securities and the U.S. 10-year Treasury bond yields to the yen/dollar exchange rate. VAR estimations suggest that a one-time increase in net Japanese purchases has an immediate negative effect on U.S. long bond yields but a short-lived delayed yen depreciation. Further, a one-time increase in the U.S. long yield leads to an immediate yen depreciation. Our results support the hypothesis that Japanese investors, who are major holders of U.S. debt and face extremely low interest rates domestically, influence the dollar/yen rate in a financially integrated world.
Published Online: 2008-2-29
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Keywords for this article
foreign exchange markets;
net purchases of U.S. Treasury bonds;
VAR;
yen/dollar
Articles in the same Issue
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- The OECD's Harmful Tax Competition Initiative and the Tax Havens: From Bombshell to Damp Squib
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- What's New in Our World?
- A Field Report on the Background and Processes of Privatization in Poland
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