行内偕作·宏观深度：日元潮汐：套息交易机理、规模与风险

Group 1: Market Impact and Mechanism - On August 5, 2023, global stock markets faced a significant downturn, with the Japanese stock market leading the decline, dropping over 12%[3] - The rapid appreciation of the yen was attributed to a large-scale reversal of yen carry trades, driven by concerns over a U.S. economic recession and expectations of interest rate hikes by the Bank of Japan[3] - Yen carry trading, characterized by borrowing low-interest yen to invest in higher-return assets, has expanded significantly over the past 25 years due to Japan's zero interest rate policy[3] Group 2: Estimated Scale of Yen Carry Trades - The potential upper limit of three types of yen carry trades was estimated to be $9.3 trillion by the end of FY2023, equivalent to 236$5.4 trillion, while non-residents borrowing yen for Japanese stocks could amount to $2.1 trillion, and non-residents investing in overseas securities could total$1.8 trillion[3] - The total scale of yen carry trades represents 13% of all yen liabilities and affects over 30% of the Japanese stock market's market value[3] Group 3: Risks and Future Outlook - The expansion and reversal of yen carry trades create significant liquidity fluctuations in global financial markets, acting as both "initiators" and "amplifiers" of volatility[3] - As the monetary policy cycle between the U.S. and Japan diverges, the potential for further yen carry trade reversals could lead to increased market volatility and impact global liquidity[3] - Japan's inflation is expected to remain above the 2% target, potentially forcing the Bank of Japan to raise interest rates, which could further narrow the interest rate differential with the U.S.[3]