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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). (original abstract)
Rocznik
Tom
Numer
Strony
37--44
Opis fizyczny
Twórcy
autor
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Bibliografia
- Brunnermeier M. K., Nagel S., Pedersen L., Carry trades and currency crashes, NBER Working Paper Series, November 2008, p. 24.
- Coudert V., Gex M., Does risk aversion drive financial crisis? Testing the predictive power of empirical indicators, Journal of Empirical Finance, no 15, 2008, p. 168.
- Engle R. F., (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflations, Econometrica, v50(4), p. 987-1008.
- Field A., Discovering Statistics Using SPSS, SAGE Publications 2005, p. 129.
- Fong W. M., A stochastic dominance analysis of yen carry trades, Journal of Banking & Finance, no 34, 2010, p. 1237.
- Gagnon J. E., Chaboud A. P., What can the data tell us about carry trades in Japanese Yen?, International Finance Discussion Papers, no 899, 2007, p.2.
- Hughes A., King M., Kwek K., Selecting the order of an ARCH model, Economics Letters, no 83, 2004, p. 269.
- Trzpiot G., Wielowymiarowe metody statystyczne w analizie ryzyka inwestycyjnego, Polskie Wydawnictwo Ekonomiczne, Warszawa 2010, p. 165.
- Winters C., The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen, Discussion Paper, Bank of Canada 2008, p. 7.
Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171237353