日圓很弱, 日本股票漲很大

日圓的弱勢一直被解釋為市場追求風險性部位的結果. 看一下這篇Dresdner的研究歸納, 日本貿易順差的大減, 才是大原因:去年底今年初日圓狂漲到88時, 出口商很有可能避險過頭了, 當確實的海外收入數字發生時體現出此一問題, 所以才有不知名的日元賣盤等在95以下要回沖部位?

More arguments favouring a soft JPY

The combination of weak Japanese economic fundamentals including rising deflation risks, substantial portfolio investment outflows and a sharply narrowing current account surplus favour more JPY weakness in the months to come. Given our view that the recent USD weakness has been unjustified and will reverse, a short JPY position versus the USD should be well suited to express a bearish view on the JPY.

Japan’s current account surplus continues to shrink rapidly. In the first 4 months of this year it declined by about JPY 4.9trn – more than 60% - compared to the same period last year while the 12M cumulated sum fell by JPY 12.5trn or 52% versus April 2008 (compare left chart below). The development is primarily a result of the collapse in Japanese exports which weighs heavily on the trade surplus. Only the ongoing strong income component prevents the current account from slipping into negative territory.

At the same time, Japanese investors have been increasing their purchases of foreign assets in recent months as evidence of the deteriorating Japanese economic situation – rising deflation risks in particular – has grown stronger. Buying has focussed on foreign bonds and Japanese net holdings rose by JPY 8.59trn since the start of the year. Japanese investors also added foreign equities to their portfolios (JPY 2.9trn) while foreigners reduced their holdings of Japanese assets by JPY 5.65trn. The overall outflow of portfolio investment reached JPY 17.16trn since the start of the year – 2.35 times the level reported in the first 5 months of 2008.

The combination of the shrinking current account surplus and the rise in portfolio investment outflows adds to the JPY negative arguments related to the economic assessment and the associated BoJ outlook. In particular Japan’s rising deflation risks (May corporate goods prices down 5.4% yoy) which fuel expectations that the BoJ may open the monetary sluice gates even further argue in favour of more JPY weakness as the JPY’s negative carry would increase. The average 2y JPY carry within the G10 grid (calculated from swap spreads) has already moved from -56bp to -76bp since March while the 10y carry widened to -123bp from -98bp. In this context, it is worth highlighting that in trade weighted terms the JPY has fallen by significantly more that the USD in recent weeks/months (JPY down about 14.5% from its peak while USD is down 8.2%. The more the JPY’s negative carry widens the more the JPY should underperform within the G10 grid as its attraction as a funding currency for carry trades increases.

Given our view that the recent sell-off in the USD is overdone and will reverse in the weeks/months to come, a long USD-JPY position is well suited to express a bearish JPY outlook (we see USD-JPY at 110 by year end). At the same time, a short JPY position versus a basket of high-yielders (AUD, NZD, NOK as well as EM) should also be profitable.