February 10, 2009
For people who are familiar with my work, you may know that I love Seasonality studies! I have just picked up on a case of seasonality in USD/JPY that you may find interesting. Since 2000, USD/JPY has fallen 6 times out of the past 8 years. Although this is not a tremendous amount of data, it does represent 75 percent of the samples.
USD/JPY tends to have a bias to fall this week because there are usually large coupon and redemption flows happening around Feb 15. This leads to repatriation by Japanese investors out of US dollars and back into the Japanese Yen. We are already beginning to see renewed risk aversion.
If you like to read about Seasonality, read my post on What is Unique about February?