Price volatility on the USD/JPY market as a measure of investors’ attitude towards risk
Price volatility on the USD/JPY market as a measure of investors’ attitude towards risk
Author(s): Katarzyna BanasiakSubject(s): Economy
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: risk aversion; USD/JPY market; volatility index VIX
Summary/Abstract: The aim of the paper is to show the relationship between the value of Japanese yen and the investors’ risk aversion. The correlation results from the application of carry trade strategies by investors. An increase in Carry trade positions is associated with the decrease in risk aversion. The Japanese yen is one of the most popular carry trade funding currency and therefore the change in the value of this currency reflects the change in the investors’ mood. This paper shows that there is a negative relationship between the USD/JPY and the risk aversion measured by volatility index (VIX).
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XI/2010
- Issue No: 1
- Page Range: 37-44
- Page Count: 8
- Language: English
