二维视角下的日元汇率分析框架

Group 1: Yen Exchange Rate Dynamics - The current market believes that the yen exchange rate (USD/JPY) is highly correlated with the US-Japan interest rate differential, expecting yen appreciation as the differential narrows[1] - However, starting in 2024, the yen did not appreciate despite the narrowing interest rate differential, indicating a significant decline in the explanatory power of the differential on yen fluctuations[2] - Historical data shows that the yen exchange rate does not maintain a strict negative correlation with the interest rate differential, as evidenced by significant divergence around 1995[3] Group 2: Two-Dimensional Framework - A two-dimensional framework was developed, incorporating both the US-Japan interest rate differential and Japan's real current account balance to explain yen demand[4] - When Japan's current account surplus increases and the interest rate differential narrows, the yen typically appreciates; conversely, a decrease in the current account surplus alongside a widening differential usually leads to depreciation[5] - The framework is validated by historical experiences, such as the period from 1994 to 1995, where the yen appreciated despite a widening interest rate differential due to strong current account surpluses[6] Group 3: Structural Changes in Japan's Economy - The difference between adjusted real current account balances and nominal balances reflects changes in Japan's economic structure over the past 20 years, impacting the effectiveness of the interest rate differential framework[7] - Japan's trade balance has been in deficit since 2011, primarily due to increased energy imports and declining competitiveness in traditional export sectors[8] - Japan is transitioning from an "immature creditor nation" to a "mature creditor nation," indicating a significant shift in the forces determining yen exchange rate dynamics[9] Group 4: Future Outlook and Risks - With falling energy prices and a narrowing interest rate differential, there is a possibility for the yen to enter an appreciation phase; however, service trade deficits may exert pressure on the yen[10] - Japan's reliance on foreign services in high-value sectors, such as digital platforms, continues to create a persistent service deficit, which may further weaken the yen's fundamental support[11] - Risks include fluctuations in the US dollar's creditworthiness, which could alter speculative capital flows and impact the yen exchange rate[12]