日元套利交易及其对日本宏观经济的影响

A Study of Yen Carry Trade and Its Effects on Japan's Macro-economy

通货紧缩使得日元名义利率长期维持在低水平,低利率有助于日本摆脱紧缩困境、促进经济增长,但低息日元与其他货币间的利差也诱发了以日元为中介的套利活动。通过套利活动,日本投资者获得了高于国内的投资收益,而且日元币值因为套利头寸的建立和维持被长期压低。但套利活动的存在放大了国际经济形势变动对日本宏观经济的影响,一旦日元与其他币种利差缩小时,套利活动就开始反转,投资者急于购进日元了结套利头寸,日元急剧升值,从而影响日本经济增长。

The deflation of Japan has lead to lower nominal interest rates of Yen, which helps Japan to manage to release from deflation and to achieve economic growth. It is the interest differential between Yen and other curreneies that triggeres Yen carry trade, generating higher rate of return for Japanese investors. The arbitrage position also depresses the value of Yen. However, the Yen carry trade makes Japanese economy more vulnerable to international shocks. Shrinked interest differential wild drive investors to excute reverse trading by buying Yen, causing the exchange rate of Yen to appreciate dramatically and to hurt Japanese growth .