Document Type

Article

Publication Date

2-29-2008

Abstract

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.

Comments

© 2008, Walter de Gruyter. Original published version available at https://doi.org/10.2202/1524-5861.1324.

Publication Title

Global Economy Journal

DOI

10.2202/1524-5861.1324

Included in

Economics Commons

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