02111cas a2200265 a 4500 AALejournalIMF013977 230101c9999 xx r poo 0 0eng d 5.00 USD 9781475513424 1018-5941 BD-DhAAL BD-DhAAL Botman, Dennis. The Curious Case of the Yen as a Safe Haven Currency : A Forensic Analysis / Dennis Botman, Irineu de Carvalho Filho, Waikei Lam. Washington, D.C. : International Monetary Fund, 2013. 1 online resource (21 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students During risk-off episodes, the yen is a safe haven currency and on average appreciates against the U.S. dollar. We investigate the proximate causes of yen risk-off appreciations. We find that neither capital inflows nor expectations of the future monetary policy stance can explain the yen's safe haven behavior. In contrast, we find evidence that changes in market participants' risk perceptions trigger derivatives trading, which in turn lead to changes in the spot exchange rate without capital flows. Specifically, we find that risk-off episodes coincide with forward hedging and reduced net short positions or a buildup of net long positions in yen. These empirical findings suggest that offshore and complex financial transactions should be part of spillover analyses and that the effectiveness of capital flow management measures or monetary policy coordination to address excessive exchange rate volatility might be limited in certain cases. Mode of access: Internet de Carvalho Filho, Irineu. Lam, Waikei. IMF Working Papers; Working Paper ; No. 2013/228 Full text available on IMF http://elibrary.imf.org/view/journals/001/2013/228/001.2013.issue-228-en.xml IMF e-Library