from risk reversal contracts and macroeconomic news surprises. We focus on the height of the carry trade period in Japan … (March 2004 through December 2006). Concerns about sharp yen appreciation were particularly evident during the period of … investigate the direct impact of news on the value of dollar yen risk reversals. We also consider the effect of the value of risk …

distribution) during the period when concerns about sharp yen appreciation were particularly high, hence more likely to show up in … determinant of risk reversals during periods of heavy carry trade volume, particularly when the cost of hedging against large yen … channel of exchange rate determination during the sample period. Specifically, Japan (U.S.) macro news that worsen (improve …

Japanese yen. Furthermore, the country was adversely affected by US pressure to reduce trade deficits and resolve the prolonged … trade dispute. In the early 1990s, Japan faced sluggish economic growth and low inflation, as well as severe structural … operational independence and the lessons learnt from Japan's bubble experience, meanwhile, the Bank of Japan (BOJ) was granted …

area, Japan, and U.K.) a compression in the long-term yield spread exerts a powerful effect on both output growth and …