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레포트 > 경제경영계열

[국제금융론] 캐리 트레이드(carry trade)

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레포트 > 경제경영계열
2010.08.31
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[국제금융론] 캐리 트레이드(carry trade)에 대한 자료입니다.

I. Introduction
1. The Carry of an Asset
2. Carry Trade

II. Yen carry trade
1. What is Yen carry trade?
(1) Typical meaning
(2) Broad meaning
2. The progress of Yen carry trade
3. The scale of Yen carry trade
4. The risk of Yen-carry trade
(1) The asymmetry between build-up and unwinding
(2) The worsening economy in invested country
(3) Asymmetry & bubble bring economy crisis

III. Dollar carry trade
1. The definition of dollar carry trade
2. Emerge of dollar carry trade
3. The Effect of Expansion of the Dollar Carry Trade
(1) Dollar Carry Trade and the Dollar
(2) Real Value of the U.S Dollar
(3) Dollar Carry Trade and Asset Bubbles

III. 4. The Future of the Dollar Carry Trade

IV. Conclusion

본문내용

II. 2. The progress of Yen carry trade

Since 1990s, Japanese government and central bank started lowering interest rate policies so that Yen carry trade has begun.

1) After Kobe Earthquake in 1995, the Bank of Japan lowers the interest rate at 1%. In 1997, as financial crisis in East-Asia was broadening, Yen carry assets were paid off. In addition, The sharp increase in foreign bank assets in 1997 and 1998 is accounted for by the increase in “bills bought.” The Japan premium ruling at the time meant that non-Japanese banks had a considerable pricing advantage over local Japanese rivals, and managed to exploit this advantage.

2) In 1999, the Bank of Japan lowers the interest rate at 0%. In 2001, the U.S. lower its interest rate suddenly after the dotcom bubble burst. Yen carry assets were paid off again.

3) Japan continued to retain the zero interest rate and the U.S. rose the interest rate so that Yen carry trade began. Due to the subprime mortgage crisis, Yen carry assets were paid off.
The IMF Staff’s paper analyzes the relation between yen carry trade and subprime as below. “This figure is the scatter chart of monthly change in net interoffice account and the ABX AA 07-1 index of implied subprime mortgage security prices. The ABX index summarizes the information from polls taken from dealers who quote prices for credit default swaps (CDSs) on various tranches of collateralized debt obligations built on subprime residential mortgages. There is a negative relationship between the two, suggesting that the carry trade is being unwound as the price of subprime mortgage securities fall.”
The scatter chart reveals that the subprime crisis has been intimately linked with the unwinding of the yen carry trade in terms of the reversal of the net interoffice account positions of foreign banks. The scatter chart shows the monthly changes in the net interoffice accounts from the beginning of 2007. The sharpest movement occurs in August, when (beginning on August 9) the subprime crisis took hold in the interbank credit market resulting in the drying up of liqui

#국제금융론 #캐리 #carry #금융론 #trade

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