Is a Japanese yen a safe haven? Relationship between Japanese currency and financial market uncertainty

2021 ◽  
Author(s):  
Katarzyna Czech ◽  
Keyword(s):  
Financial Markets ◽  
Interest Rates ◽  
Financial Market ◽  
Financial Stress ◽  
Sudden Increase ◽  
Market Uncertainty ◽  
Carry Trade ◽  
Safe Haven ◽  
Low Interest Rates ◽  
Japanese Yen

Japan's low-interest rates made the country's currency the primary funding currency in carry trade speculative strategies. Investors' activity in carry trade strategies has an enormous impact on the foreign exchange market volatility. A large inflow of capital to countries with higher interest rates contributes to their currency appreciation, and, in turn, a large outflow of capital from countries with a low-interest rate leads to a significant depreciation of their currency. However, in times of crisis and high uncertainty in the financial markets, investors massively withdraw from the carry trade. They sell financial assets purchased in a country with higher interest rates and then repay loans taken in a country with low-interest rates. A sudden increase in the supply of a country's currency with higher interest rates leads to its depreciation. On the other hand, the rise in demand for a country's currency with low-interest rates leads to its appreciation. The Japanese yen is one of the most popular funding currency in the carry trade and thus tends to appreciate during crisis periods. The paper aims to investigate the relationship between Japanese yen value and financial market uncertainty measured by the Volatility Index VIX and St. Louis FED Financial Stress Index. Based on the component generalized autoregressive conditional heteroscedasticity model CGARCH with asymmetric threshold term, it has been shown that the increase in financial markets uncertainty contributes to significant appreciation of the Japanese yen against the US dollar. It implies that the Japanese currency is an example of a safe-haven currency and can be applied to hedge financial stress for global equity investors.

scholarly journals IMPLEMENTASI METODE FUZZY TIME SERIES DENGAN MODEL ALGORITMA CHEN UNTUK MEMPREDIKSI HARGA EMAS

2020 ◽  
Vol 13 (1) ◽  
pp. 71-78
Author(s):  
Darsono Nababan ◽  
Eric Alexander
Keyword(s):  
Time Series ◽  
Interest Rates ◽  
Gold Price ◽  
Fuzzy Time Series ◽  
Actual Data ◽  
Series Method ◽  
Market Uncertainty ◽  
Low Interest Rates ◽  
Calculation Results ◽  
Time Series Method

Gold is one of the people's preferred forms of investment and is considered the safest (save -heaven). Gold risk which is considered small is the main attraction because in general Indonesian people are not yet familiar with capital market investments such as stocks and mutual funds. But the price of gold is very volatile as for the factors that affect the fluctuations of gold are consumption demand, volatility and market uncertainty, protection of low-interest rates, and the US dollar. Predicting the movement of the gold price and knowing where the direction of the exchange rate moves and determining the price of gold up or down cannot be done accurately and consistently. For this reason, in reducing the risk of loss, an application is needed to predict gold prices using the Fuzzy Time Series Chen algorithm using MATLAB software. In this study to obtain prediction results and comparison charts using actual data and prediction data for the 2015-2017 gold price. From the calculation results obtained by the prediction results with the Fuzzy Time Series method with the Chen algorithm where the average difference between the actual data and prediction data is not more than Rp. 2,850, - where predictions using the Fuzzy Time Series method Chen's algorithm is sufficient to use 1 data to predict the second data which makes this method accurate in predicting the price of gold.

scholarly journals Risk Taking, Principal Agent Problems and Breakdown of Corporate Social Responsibility (CSR): How to Reestablish Safe-Assets and Capital Funding for Social Security?

Equilibrium ◽  
2013 ◽  
Vol 8 (2) ◽  
pp. 7-30 ◽  
Author(s):  
Hans-Georg Petersen ◽  
Alexander Martin Wiegelmann
Keyword(s):  
Financial Markets ◽  
Interest Rates ◽  
Financial Market ◽  
Debt Crisis ◽  
Principal Agent ◽  
Market Structures ◽  
Financial Products ◽  
Monetary System ◽  
Capital Funding ◽  
Corporate Social

The breakdown of the financial markets in fall 2007 and the following debt crisis in the EU has produced an enormous mistrust in financial products and the monetary system. The paper describes the background of the crisis induced by functional failures in risk management and the multifold principal agent problems existing in the financial market structures. The innovated nontransparent financial products have mixed up different risk weights and puzzled, or even fooled formerly loyal customers. Contemporaneously abundant liquidity on the international financial market accompanied by easy money policies of the Fed in the US and the ECB in the euro zone have depressed the real interest rate to zero or even negative values. Desperate investors are seeking for safe-assets, but their demand remains unsatisfied. Low real interest rates and the consequently lacking compound interest effect in the same time jeopardize private as well as public insurance schemes being dependent on capital funding: the demographic crisis becomes gloomy. Therefore, the managers of the financial markets have to reestablish CSR and to divide the markets into safe-asset areas for the usual clients and “casino” areas for those who like to play with high risks. Only with transparency and risk adequate financial products can the lost commitment be regained.

The Emergence of a National Capital Market in England, 1710–1880

1993 ◽  
Vol 53 (1) ◽  
pp. 1-24 ◽  
Author(s):  
Moshe Buchinsky ◽  
Ben Polak
Keyword(s):  
Eighteenth Century ◽  
Financial Markets ◽  
Interest Rates ◽  
Financial Market ◽  
Capital Markets ◽  
Capital Market ◽  
Late Eighteenth Century ◽  
Regional Markets ◽  
Late Eighteenth ◽  
National Capital

Was eighteenth-century London's financial market linked to domestic real capital markets? When did English capital markets cease to be regionally segmented? We compare London interest rates with annual registered property transactions in Middlesex and in West Yorkshire. This evidence, though tentative, suggests that London financial markets were weakly linked to local real capital markets in the mid-eighteenth century. By the late eighteenth century those links were strong. Regional markets were still segmented in the mid-eighteenth century but were integrated by the time of the Napoleonic War.

scholarly journals Regulacija financijskog tržišta prije i nakon svjetske krize

2017 ◽  
Vol 5 (1) ◽  
Author(s):  
Anita Radman Peša ◽  
Vanja Zubak ◽  
Duje Mitrović
Keyword(s):  
Risk Management ◽  
Financial Markets ◽  
Interest Rates ◽  
Financial Market ◽  
Financial Risk ◽  
Banking Sector ◽  
Financial Regulation ◽  
Banking System ◽  
Financial Risk Management ◽  
Macroeconomic Stability

The banking sector in the global economic system is an area of great impact on the preservation of macroeconomic stability. As it turned out, and during the recent economic crisis, whose consequences are still felt in many countries, the collapse of the financial markets has farreaching effects on all of the national financial markets. The aim of this paper is to analyze the existing regulation of the financial markets and its (lack of) performance in the current financial risk management in order to preserve macroeconomic stability, and provide a secure and stable banking system. The purpose of the study was to present financial regulation before the crisis of 2008 / 2009, and to compare it with the regulations issued after the global crisis of 2008 / 2009 in order to conclusion whether it is cosmetic or real changes of regulating the financial system, and whether existing regulation in the future successfully prevent minor and major disruptions of the financial markets. Croatian financial market is especially analysed in the case of manipulation using the benchmark interest rates.

scholarly journals The Spillover and Transmission of Chinese Financial Markets Risk

2018 ◽  
Vol 11 (8) ◽  
pp. 66
Author(s):  
Sha Zhu
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Financial Market ◽  
Spillover Effect ◽  
Financial Stress ◽  
Stress Index ◽  
2008 Financial Crisis ◽  
The Us ◽  
Financial Stress Index

After the 2008 financial crisis, the whole world financial markets became more fluctuates, the same to China also. It is necessary to pay great attention to high volatility problem in Chinese market, and also the uncertainty problem, risk accumulation and spillover effect come along with it. This paper calculates stock market return and builds financial stress index to explore the risk spillover effect. Empirical results show that the Chinese financial market have higher volatility than other countries. The Chinese stock market had higher dynamic market co-movement with international financial markets after 2008 financial crisis. What’s more, this article also finds the financial risk spreads between China and US. When the US financial stress index increases, China's financial stress index experiences a larger increase. However, after the change in China's financial stress index, the US financial stress index has no obvious trend of change. So we should pay more attention to periods of Chinese financial market risk and its spillover.

scholarly journals Geld verändert die Welt

2018 ◽  
Vol 87 (3) ◽  
pp. 65-81
Author(s):  
Reinhold Rickes
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Interest Rates ◽  
Financial Intermediation ◽  
Savings Banks ◽  
The World ◽  
Low Interest Rates

Zusammenfassung: In Zeiten von Digitalisierung, Niedrigzinsen und Kryptogeld stehen viele ökonomische Prozesse und insbesondere die Finanzintermediation auf dem Prüfstand. Im vorliegenden Beitrag wird dabei die Rolle der Geldpolitik kritisch mit Blick auf ihre „Ultraexpansivität“ reflektiert und Spekulationsgefahren sowie Risiken der Veränderungen des Geldsystems analysiert. Im Finanzsektor ist entscheidend, wie zukünftige Regulierungen ausgestaltet werden. Summary: Money is changing the world. In times of digitization, low interest rates and cryptocurrency, many economic processes and especially financial intermediation are under scrutiny. In this article, the role of monetary policy is critically reflected with regard to its „ultra-expansionism“ and the necessity of further exit steps is discussed. In addition, the financial markets are being changed by the development of cryptocurrency. As a result, the associated risk of speculation poses a threat. In this context, it is also necessary to warn against the path towards a full-money system. After all, banks and savings banks are facing up to these challenges and mastering them. Therefore, it remains crucial to design further regulations with moderation and balance.

A Study on Risk Management in Financial Market

2019 ◽  
pp. 182-197
Author(s):  
Smruti Rekha Das ◽  
Kuhoo ◽  
Debahuti Mishra ◽  
Pradeep Kumar Mallick
Keyword(s):  
Risk Management ◽  
Financial Markets ◽  
Interest Rates ◽  
Financial Market ◽  
Stock Prices ◽  
Historical Data ◽  
Market Price ◽  
Business Goals ◽  
Current Price ◽  
Management Of Risk

The basic aim of risk management is to recognize, assess, and prioritize risk in order to assure that the uncertainty should not deviate from the intended purpose of the business goals. Risk can take place from various sources, which includes uncertainty in financial markets, recessions, inflation, interest rates, currency fluctuations, etc. Various methods used for this management of risk are faced with various decisions such as the market price, historical data, statistical methodologies, etc. For stock prices, the information derives from the historical data where the next price depends only upon the current price and some of the outside factors. Financial market is very risky to invest money, but the proper prediction with handling the risk will benefit a lot. Various types of risk in the financial market and the appropriate solutions to overcome the risk are analyzed in this study.

Structural Blossom of Financial Markets

2010 ◽  
pp. 59-69
Author(s):  
A. Suetin
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Financial Markets ◽  
Interest Rates ◽  
Inflation Expectations ◽  
Financial Assets ◽  
High Demand ◽  
Low Interest Rates ◽  
The Usa ◽  
Growth Deceleration

One of the attractive features of financial assets is linked to their ability to increase or preserve their buyers wealth. Soaring prices provoke investors euphoria, their decline - paralysis. In 2010 capital in the USA has moved from the stock market to the bonds market that directly reflects low inflation expectations and current low interest rates. High demand on government securities is due to new economic growth deceleration expectations.

Room to Move: International Financial Markets and National Welfare States

2000 ◽  
Vol 54 (4) ◽  
pp. 737-773 ◽  
Author(s):  
Layna Mosley
Keyword(s):  
Financial Markets ◽  
Interest Rates ◽  
Financial Market ◽  
Government Policy ◽  
International Political Economy ◽  
Research Question ◽  
Policy Outcomes ◽  
International Financial Markets ◽  
Central Research ◽  
Market Participants

A central research question in international political economy concerns the influence of financial markets on government policy outcomes. To what extent does international capital mobility limit government policy choices? I evaluate the relationship between international financial markets and government policy outcomes, with a focus on the government bond market in developed democracies. Evidence includes interviews with financial market participants and a cross-sectional time-series analysis of the determinants of interest rates. This evaluation suggests that governments of developed democracies face strong but narrowly defined financial market pressures. Financial market participants are concerned with a few macroeconomic policy indicators, including inflation rates and government deficit/GDP ratios, but not with micropolicy indicators, such as the distribution of government spending across functional categories. In these areas, governments retain policymaking autonomy. I conclude by exploring the role of financial market influences within domestic politics and offering suggestions for further research.

scholarly journals Impact of Financial Market Uncertainty on Market Returns: A Global Analysis

2020 ◽  
Vol 10 (3) ◽  
pp. 216
Author(s):  
Maryam Abid ◽  
Danish Ahmed Siddique
Keyword(s):  
Gross Domestic Product ◽  
Interest Rates ◽  
Financial Market ◽  
Price Index ◽  
Consumer Price Index ◽  
Negative Relationship ◽  
Market Uncertainty ◽  
Market Returns ◽  
The World ◽  
Per Capita

This paper examines the effect of financial market uncertainty on market returns of different countries of the world. The effect of other macroeconomic like Consumer Price Index (CPI), Real Interest Rates (R.IR), Market Capitalization (MCAP), and Gross Domestic Product per capita growth (GDPPCG).For analyzing this relationship, around 40 countries data including developed and developing countries, over the period of 10 years from 2009-2018. For analysis, Panel Least Square (PLS) was used. Fixed Effect Model (FEM) is used to check the overall strength of the model. Group correlation was also performed on overall variables to check the causal relationship between all the variables and individual regression tests are also conducted country wise to explore that how much this model is applicable, descriptive analysis for market return and uncertainty to check the moments of these variables. The overall results it is concluded that market returns are affected by the financial markets uncertainty in the long run and it is a significant variable in explaining market returns while overall test results proved a positive relationship with market returns but individual testing of this model on each country shows, more than half countries in the study have a negative relationship of financial market uncertainty with market returns. Along this, other macro-economic variables impact is also measured over market returns of the world which shows all variables Consumer Price Index, Real Interest Rates and Market Capitalization except Gross Domestic Product per capita growth have a negative relationship with the Equity Market returns.

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