日元套利交易泛滥美国金融监管成效显著

日元套利交易是利用日元与其他高息货币利率差来获得利润的交易方式。其产生的主要原因是日元与欧元、英镑及美元等高息货币间的利率差较大。日元套利交易不仅会使日元汇率出现大幅下跌。而且加剧了全球资产价格的膨胀，而其获利平仓又将造成全球金融市场的大幅动荡。[编者按]     

套利交易“绑架”日元

十年来,套利交易赋予了日元特立独行的走势,市场情绪取代了经济基本面,规划了日元的走向。日元正试图挣脱,向正常货币回归。     

日元套利 不测之忧

近来,日元套利交易成为国际金融界的一个热门话题。日元套利交易又称"携带日元交易"(Yen carry Trade),是上世纪九十年代后半期在对冲基金和机构投资者当中开始流行的一种投资手法,即从日本借入低利率日元,兑换为其他币种,再投资到高利率的地方。作为当前最盛行的套利交易,日元套利交易的动向正日益受到国际市场、金融机构和有关当局的密切关注。那么,当前日元套利交易异常火爆是基于怎样的背景?对东亚地区汇率和贸易格局有何影响?与全球流动性有多大程度的联动性?给国际金融市场带来怎样的新风险?我们又该如何应对?本刊特约四位专家学者从不同角度对相关问题展开系统深入的解读和剖析。     

日元套利交易：货币波动性是关键

2月末全球股市暴跌，其中日元套利交易的平仓被认为是主因。该篇访谈以一位国外资深人士的视角介绍了国际市场上日元套利交易的基本情况，指出在全球流动性持续充足的情况下，短期内套利交易的关键是货币波动性，低波动性是支撑风险资产的关键，反之，投资者必须制定适合自身风险承受力的交易策略。     

套利交易“绑架”日元

十年来,套利交易赋予了日元特立独行的走势,市场情绪取代了经济基本面,规划了日元的走向。日元正试图挣脱,向正常货币回归。如果说20世纪的最后十年是日本失去的十年,那么21世纪的第一个十年则是日元汇率被绑架的十年。在这十年中,尽管日元汇率波动性较高,但交易员几乎不再关注日本经济的基本     

人民币日元直接交易顺风起航

6月1日,中国和日本启动人民币与日元的直接交易,日元成为除美元之外首个与人民币开展直接交易的全球主要货币。人民币和日元直接交易市场设在东京和上海,参与交易的机构包括三菱东京UFJ银行、_二井住友银行、瑞穗银行、中国银行和汇丰银行等一些重要的商业银行。当然,在中国资本管制尚未放开的情况下,日元与人民币的直接交易,仍然局限于经常项目和直接投资项目,实际上是人民币跨境贸易和直接投资结算的深化,不属于资本账户完全开放下的直接可兑换,但其作用是深远的．     

日元利差交易之规模评估与启示

文章首先划分了日元利差交易的类别，并分别估算了三种不同形式下日元利差交易的规模，认为利差交易的根本目的还在于资产交易，因此应高度重视资产价格波动对利差交易的影响，同时也应关注日元在利差交易中被大幅低估的可能。     

日元：避险情绪重燃行情

长期以来,日元作为国际外汇市场套息交易的融资货币,其走势与各国息差以及全球风险偏好情绪息息相关。自2008年8月百年一遇全球金融海啸爆发之后,日元汇率跌宕起伏。而在经历风暴一年多以后,当前世界经济似乎出现了复苏的“萌芽”,日元兑美元汇率将韦向何方7     

日元：避险情绪重燃行情

长期以来,日元作为国际外汇市场套息交易的融资货币,其走势与各国息差以及全球风险偏好情绪息息相关。自2008年8月百年一遇全球金融海啸爆发之后,日元汇率跌宕起伏。而在经历风暴一年多以后,当前世界经济似乎出现了复苏的“萌芽”,日元兑美元汇率将韦向何方7     

日元升值：日本的无奈与期望

尽管日元贬值是日本经济永远的心痛,但对于眼前正在爬升的日元汇率。日本政府却表现出了非常复杂的心情。因为,虽然日元的升值令日本出口企业雪上加霜,也令通货紧缩每况愈下。但日本却可以籍此推进经济结构调整的进程,并提升日元在新的国际货币新体系构建中的地位与影响力。     

日元贬值对大连金州新区进出口贸易的影响与政策建议

2012年9月以来，日元兑美元、兑人民币汇率大幅走低。文章以日资企业较为集中及双边贸易较为活跃的大连金州新区为例，从贸易方式、行业、企业性质等角度分析了日元贬值对辖区内各类外贸企业的影响，指出应从积极推进人民币跨境贸易结算、提升企业品牌竞争力、加大对中小企业扶持力度等方面采取有效措施，增强企业防范汇率风险的能力。     

日元升值：背景、影响与启示

日元在20世纪最后30年,经历了三次大规模的升值,而只有后两次伴随着出口下降和GDP增速大幅降低。文章指出,“广场协议”后日本经济的衰退,其主要原因不在日元升值,而在于不适当的货币政策。现阶段,我国经济与上世纪70、80年代的日本在发展阶段、增长模式、资产价格及外部环境等方面部存在相似性,因此,日元升值的历史以及当时货币政策的经验教训对我国具有重要的借鉴意义。     

日元汇率变动的影响因素及走势分析

2012年2月份以来,日元大幅贬值,市场对于日元是否已进人中长期贬值通道展开了热烈讨论,日元贬值论也甚嚣尘上。文章在分析导致日元历史与近期贬值趋势的影响因素的基础上,尝试对日元汇率的未来走势进行判断,指出在当前市场环境下,日元存在短期内温和贬值的可能,但尚未发现足以推动日元中长期贬值的市场力量,目前判断日元已进人中长期贬值通道还为时尚早。     

关于境内商业银行外币资金汇率风险管理的思考

文章试图为化解商业银行的客户外币融资需求持续旺盛与外币存款余额常年低位徘徊之间的矛盾提供办法和思路,即商业银行可以通过构建一个外汇组合提高自有外汇资金的收益,主动管理自有外币资本金汇率风险。这需要明确以下三个问题：构建此外汇组合的目的、评价此组合的标准和构建组合的方法。在此过程中,要注意兼顾风险和收益的均衡,确定收益核算口径和收益评价标准。     

Global Banks and Synthetic Funding: The Benefits of Foreign Relatives

This paper examines the effect of dislocations in foreign currency (FX) swap markets (“CIP deviations”) on bank lending. Using data from UK banks we show that when the cost of obtaining swap-based funds in a particular foreign currency increases, banks reduce the supply of cross-border credit in that currency. This effect is increasing in the degree of banks' reliance on swap-based FX funding. Access to foreign relatives matters as banks employ internal capital markets to shield their cross-border FX lending supply from the described channel. Partial substitution occurs from banks outside the UK not affected by changes in synthetic funding costs.     

事业单位货币资金内部控制研究

为有效防范舞弊和预防腐败,财政部颁发了《行政事业单位内部控制规范（试行）》。作为内部控制的关键环节--货币资金是单位流动性最强、控制风险最高的资产,也是最容易出现贪污等违法行为的重点领域。因此,建立健全单位货币资金内部控制制度,加强关键环节内控管理,对降低支付风险,保证货币资金的安全、完整尤为重要。     

Why do closed-end country funds trade at enormous premiums during currency crises?

We investigate the response of US traded country fund premiums to currency crises in related foreign (local) markets. Our analysis includes 25 currency crises over the past decade involving 18 funds investing in 12 emerging markets, and 7 funds investing in 6 developed markets. We find that fund premiums and the volatility of the premiums increase dramatically in response to a currency crisis, both for emerging and developed markets funds, and that these effects dissipate slowly over time. Our results show that country fund shares and net asset values (NAVs) have differential risk exposures and that these differences are exacerbated during a crisis. While the NAV returns show sensitivity to changes in the local market index, share returns are sensitive to changes in both local and world market indices. Therefore, in response to a currency crisis, when local stock markets decrease in value, fund NAVs react more strongly than their share prices which have a strong global component. We also show that the high premiums observed during currency crises are not due to the reluctance of investors to trade and realize losses.     

Benefits from Asia-Pacific Mutual Fund Investments with Currency Hedging

This study presents empirical evidence on the efficiency and effectiveness of hedging U.S.-based international mutual funds with an Asia-Pacific investment objective. The case for active currency risk management is examined for a passive and a selective hedge, which is constructed with currency futures in the major currencies. Both static and dynamic hedging models are used to estimate the risk-minimizing hedge ratio. The results show that currency hedging improves the performance of internationally diversified mutual funds. Such hedging is beneficial even when based on prior optimal hedge ratios. Further, efficiency gains from hedging, as measured by the percent change in the Sharpe Index, are greatest under a selective portfolio strategy that is implemented with an optimal constant hedge ratio.     

Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective

The main focus of this paper is the managerial skill or alpha of global bond funds. Analysis of the global bond market shows that both currency and bond-related returns are an integral part of the global fixed-income exposure. The present work deals with regression-based style analysis and other established methods in the bulk of finance journals literature, using both currency and fixed-income factors, and investigates the alpha of the globally invested fixed-income portfolios. There is empirical evidence that, between May 2007 and January 2015, global bond funds delivered significantly positive alpha. There is also an indication that periods of depreciation of the basis currency of the funds (EUR) improves fund performance, and market turmoil and negative events destroy alpha. During the Euro crisis and Fed tapering, the funds generated sustainable positive excess alpha. A division of the sample into two sub-samples gives more insight into the excess return. Additional robustness estimations deliver qualitatively similar results.     

国际间利差交易的回眸与展望

利差交易主要是指借入低利率货币、再投资于高利率货币,从而赚取利差的交易行为。文章介绍了近几年来国际间利差交易的主要种类、规模及收益和风险状况,并对我国利率水平提高后对利差交易产生的影响进行了展望。