(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 … reversals on the yen carry trade, using (non-commercial) open interest positions in futures markets as a proxy for carry trade …

literature, we are able to identify a significant impact of macroeconomic surprises on foreign exchange volatility of JPY … 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 …

. The second part deals with the econometric estimation of speculative dynamics. I find empirical evidence for similar …

liquidity proxy variable, Chicago Board of Exchange's (CBOE) S&P 500 market volatility index (VIX), into the model. Variance …