日元套息交易浅析

Group 1: Report Summary - The report focuses on the analysis of yen carry trade and its potential impact on global liquidity [2][5] - With Japan's monetary policy moving towards limited normalization, yen carry trade may become an important disruptive factor for global liquidity in the future [2][5] - The future of yen carry trade is uncertain, and attention should be paid to the policy path of the yen and the structural changes in Japanese bond yields [2][14] Group 2: Typical Path of Yen Carry Trade - The typical path of yen carry trade is to borrow low - cost yen, convert it into high - yield currencies, and invest in bonds, stocks or structured products to earn interest rate differentials, and then convert the investment currency back to yen to repay the debt [6] - Yen carry trade has a risk structure highly sensitive to yen exchange - rate changes, and a unilateral appreciation of the yen may trigger a large - scale stop - loss chain [6] Group 3: Background of Yen Carry Trade - Japan's long - term low - growth, low - inflation and low - interest - rate environment since the 1990s bubble burst, along with the Bank of Japan's extremely loose monetary policy, made the yen the world's cheapest and most stable funding currency [7] - The interest rate differentials between the US and Japan during the US and European interest - rate hike cycles strengthened the incentive for yen carry trade, leading to large - scale international capital flowing into US and emerging - market assets [7] - Yen carry trade is closely related to global financial conditions. It expands during low - volatility and high - risk - appetite periods and reverses during high - volatility and risk - event periods, causing cross - asset fluctuations [8] Group 4: Market Outlook - Impact of "Takaichi Economics" - Since 2024, Japan's macro - environment for yen carry trade has undergone a structural change, with core inflation rising above 2% and the Bank of Japan gradually exiting ultra - loose policies [9] - After Takaichi Sanae took office, the Japanese government launched a fiscal stimulus package of over 21 trillion yen, increasing concerns about long - term debt sustainability and pushing up long - term interest rates [11] - The rise in long - term interest rates has increased the yen's internal rate of return and may lead to portfolio re - balancing by Japanese domestic long - term investors [11] - Currently, the systematic risk of yen carry trade reversal has not emerged as the real yield of Japanese 10 - year government bonds is still negative, but multiple factors need to be monitored in the future [14]