1. JordanYoung
ITRN 701 – PolicymakinginaComplex World
Final Paper
The Japanese Yen: Speculative Fodder or Safe Haven Asset?
Overview
A “safe haven”currencyis an assetthat investorswill seekintimesof risk, instability,andcrisisto
preserve the value of theirholdings.Examplesinclude the USDollar, gold, the SwissFranc,andthe
Japanese Yen. These currenciestendtoappreciate duringtimesof political,economic,andfinancial risk,
as well asduringperiodsof highsocial unrest, inwhatinvestorscall the “flighttosafety”.There are
manycharacteristicsthat these safe havencurrenciesshare.First,the hostnationsalmostalwayshave
veryhighcentral bankindependence,whose governmentshave the highestcreditratings.Thisensures
that the value of the investor’sholdingsinthatcountryismost unlikelytobe eatenawaybyinflationor
exchange rate shocks.Second,“safe haven”currenciesare usually underthe control of asingle
sovereignstate.Third,safe havencurrenciesare highlyliquid,widelyused,anddonot have many
tradingrestrictions. Fourth,theyare basedinnations thatare geopoliticallystable.Iargue thatthe
behaviorof investorsseekingrefugeinthe Japanese Yen activelycreatesgreaterpolitical,economic,
and financial risksasthe time horizonandscope of risk-off periods expand,inthe process undermining
the “safe haven”characteristicsof possessingYen-denominatedassetsintheirportfolios.
Thisstudywill examinethe JapaneseYen,ratherthanthe US Dollar or SwissFrancfor a varietyof
reasons.First,the U.S.dollardenominatesmostof the world’scommodities,anda highrate of
appreciationinthe U.S.dollarhasa greateffectonfar more than justthe U.S. economy-the U.S.Dollar
composesthe highestproportionof loanable cashreservesinthe world,usedtofinance government
spendingandotherfinancial transactionsacrossthe world,toa much greaterscale than the SwissFranc
or the Japanese Yen.Because investorswanttopreserve the value of theirassets,theydo notwantto
shock the system by rapidly appreciating a currency so vital to the integrity of the world financial system.
The SwissFranc oftenacts primarilyasa counterbalance toinstabilityinthe Eurozone,withastrong
and well-knownnegative correlationtoitsstrengtheningandweakening. (Kitamura,2009) In addition,
the Swissstockexchange isnotas well integratedintothe worldmarketasthose of the U.S.and Japan.
Japan,however,has well-integrated high-volume financialexchanges,aneconomywhichdependson
conductingforeignexchangetransactionstosurvive,andveryfew governmentscontractdebtinthe
Japanese Yen.Because the Japanese Yenisthe currencythatbalancesa blendof high trade volume,
moderatelylow global risk,andubiquity,itisworthexploringmore deeplyhow tradersevaluate the Yen
to be a safe haven,andhowtradingattitudeschange fromrisk-off torisk-on.
To lookat currency fluctuationsusingacomplex systemsanalysiswouldyieldgreaterinsightregarding
the fundamental incentive structuresandattitudes heldbyactors inthe system, whichcontribute to
and reinforce suchbehaviorof the currency.The foreignexchange marketisthe mostcomplex market
inthe world – because citizens,governments,central banks,andfinancial institutionsare completing
exchangesandtransactionsnearly continuously,there are constantchangesinthe exchange rate.
Consequently,the behaviorof financial markets,especiallyforeignexchange markets,isinsufficiently
predictedbythe standardizedstatistical modelsusedinotherformsof financialtrading.Furthermore,
the financial markets reactnearinstantaneously tonewsreportsandrumors,regardlessof theirtruth

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ITRN 701 – PolicymakinginaComplex World
Final Paper
value,whichcanoftenleadtoovershootingonprice andovercorrection, whichwouldindicate a
possibility of speculative behavior.The possiblefalloutfrompolitical,governmental,and
macroeconomiceventsismagnifiedinthe foreignexchange markets.However,itshouldalsobe noted
that these eventsall have theirorigininmicro-level phenomena,producingemergentoutcomeswhich
drive the directionof the foreignexchange markets. Financialmarketstatistical modelsare of
questionable usefulness atbestinex postanalyses,butare not at all useful inex ante analyses,due to
theirinabilitytopredictrandomeventsandshocks.
For these reasons,usingthe paradigmspresentwithincomplex systemsanalysisisnecessarytoproduce
betterfinancial models.Thismode of analysiswillprove useful indeconstructingandexaminingthe
heuristicswhichtradersandinvestmentbankersallow to playarole intheirdecision-makingprocesses.
The safe havencurrencycharacteristicof worldforeignexchange marketsisone of the casesinwhich
complex systemsanalysiscanhelptofill aknowledgegapleftbythe traditional models;boththe
fundamental reasonsthatacurrencybecomesa safe havenand the extenttowhichsuchcurrenciesare
targetedby rate speculators.
Structural contributors to perceptionofsafe havenstatus
Political
In itsfavor,Japan hasrelative political stability,with governance thatalsocomparesfavorablywiththat
of mostotherworldnations.Thisisdespite having ahighnumberof leadershipchanges,especiallyin
the Prime Minister/ChiefExecutive positionduringthe last25 years,with15 differentprime ministers
servingduringthattime frame,despitebeingelectedto4-yearterms.While the economicmalaise
experiencedbythe nationatlarge hasbeena major factorin generatingthisvolatility,the fundamental
structure and qualityof governance hasremainedwell intact.Withregardstopolitical risk,Japanis
consideredasafe place,due toboththe formatof the government(parliamentarian) aswell asthe
overall sluggishnessof social change. However,the Japanese peoplehave proventobe quite fickle
aboutelectingagovernment thatcan bringforthsustainedgrowth,ratherthanthe cycle of weak
growthand stagnationthathas plaguedJapanformost of the past 3 decades,leadingtoPrime Minister
resignation andsnapelectionscalledwhenthe governmentlosesthe confidenceof the people.
(Pekkanen etal.,2016)
Financial
In addition,Japanishome to the largestcity andone of the four majorfinancial hubsinthe world,
Tokyo(the otherthree: NewYork,London,andHong Kong) and tradesvolumesinthe billionsof dollars’
worthof securitiesdaily. Furthermore,the statusof the Yenas one of the major worldreserve
currenciesgivesitinternational faithandrecognitionasa currencythat will holditsvalue,andis
therefore heldbyinvestorsacrossthe world.All of thishelpstoprovide the countrywithcomparatively
large stocksof foreignexchange reserves,which itcan use to hedge againstsovereign currencyrisks,as
well asprovide ahealthyinternational presenceinthe nation. However,Japan’sratioof current
accounts to foreignexchangereservesistherefore one of the lowestamongnationswithmajorfinancial

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ITRN 701 – PolicymakinginaComplex World
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hubs,due to Japan’soutsizeddependence ontrade andlarge volumesof Yen holdingsbeingheldand
usedabroad. (Botmanet al.,2013) However,thistranslatestoJapanhavingeasyaccessto mostof the
nodesonthe global financial network,apossible double-edgedswordintermsof monetarypolicy;more
actors on the marketbegetlesscontrol andhigherrisk.
Domestic economicproduction
Japanis a nationwithaccessto veryfewdomesticnatural resources –the largestsectorsof the
economyare manufacturing,tech,finance,andentertainment.Asaresult,the Japanese economyis
heavilydependentoninternationaltrade,andmustbe able to compete favorablywithothereconomies
whichalsodo exportsinthe same sectors.Thisisa groupthat includesSouthKorea,Taiwan,Germany,
and increasinglyChina. The costsof production(labor,materials,transportation,etc.) are muchhigher
for Japanthan forany of theirdirectcompetitors,soforthemtomaintaintheirmarketshare theymust
have a stable exchange rate whichallowsexporterstocompete oncost.The Japanese government
understandsthis,andasa resultstrivestokeepadelicate balance betweenanexchange rate thatistoo
highto exportcompetitively,andanexchange rate thatistoo low,whicherodesthe purchasingpower
and earningsof the Japanese population. (Kwan,2001) However,these factorsare of little tonoconcern
to traders,whotendto drive the marketmore inthe shortterm. This balancingactin recentyearshas
contributed toslowandunevengrowth,asexogenouseventsandinvestorbehaviorcreate uncertainty
that the Japanese governmenthashadgreatdifficultyaccountingforinatimelymanner.
History of the Japanese Yenand Safe Haven Behavior
Currency Fluctuation and theJapaneseEconomy
Safe havenbehaviorhasa tendencytodrive demandforthe Yenveryhigh, leadingtoexchange rate
appreciation.ForJapan,whichisheavilydependentonJapanese companiesbeingable torepatriate
revenues(byconvertingothercurrencies intoYen),anextendedperiodof Yenappreciation translatesto
lowerreportedrevenuesfromabroadinthe shortrun,and possible postponementof repatriationinthe
longrun. (Leung,2016) This kicksoff a negative feedbackloop inwhichcompaniesabsorbthe shockin
the short term,howeverif thispersistsoverthe long run, the seculardecline indemandfortheirgoods
can leadto jobcuts and a lack of expansionandinvestment,whichisusuallyassociatedwithcurrency
depreciation.Whenprolongedsafe havenbehaviorisineffect,suchasinthe contextof the Financial
CrisisandRecessionof 2007, Japan has demonstratedremarkablyslowedratesof growth,and suffered
prolongedexchangerate appreciation anddeflationarypressure onthe Japanese economy. (Kuroda,
2013)
Policy Shocks and Stimulus
The sheernumbers of exogenousvariableswhichimpactJapan’sfinancial marketsandcurrencymarkets
sometimesforce the Bankof Japanand the Japanese governmenttotake actionsthatmany considerto
be unorthodox orinnovative.Thisattitudearisespartiallydue tothe political economicrewardsthatcan
be reapedinthe eventthat a policyisfoundwhichincreasesJapanese growthrates,ratherthan
attemptingmore of the same policyprescriptionswhichhave largelybeenunsuccessful.(Kuroda,2013)

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ITRN 701 – PolicymakinginaComplex World
Final Paper
Take,for example,the factthatthe Bank of Japan wasthe firstinstitutioninthe worldtoeverinstitutea
policyof negative interestrates,apolicytheybeganinearly2016, a move consideredunprecedented.
(Yoshino&Taghizadeh-Hesary,2016) Conventionaleconomicwisdomatthe time statedthatthere was
no waythat the policywouldwork,asit wouldcause a run oncreditand impede the abilityof banksto
stay solventinthe longrun.However,thispolicyisstill ongoing, despite the factthatitdidnot produce
any appreciable difference ineconomicoutcomes.(Yoshino&Tagizadeh-Hesary,2016) The longrun
effectsof negative interestrates,however,remaintobe seen.The pointremains,however,thatthe
Bank of Japan andthe Japanese governmentwill implementfiscal andmonetarypoliciesthatintroduce
substantial riskforinvestors.ThiswasrecentlydemonstratedwhenPrime MinisterShinzoAbe was
electedtooffice,withpromisesforchange.
Afteryearsof policysolutionswhichdidnotadequatelycreate inflation andeconomicgrowth,in2012,
newPrime MinisterShinzoAbe tookoffice,afterpledgingareturnto a growingeconomy andinflation.
Througha three-prongedapproach,dubbedthe “Three Arrowsof Abenomics”,he aimed tocombine
flexible fiscal policy,aggressivemonetaryeasing,andstructural reformstoelevate long-termgrowth
potential.These objectivesincludedthe immediate implementationof 2% inflationtargetingandopen-
marketassetpurchases. (Botmanetal.,2013) Almostinstantaneously,the Yendepreciatedalmost25%,
as Abe’spromisedquantitative easingmeasuresandfiscal stimulusstartedtogointoeffect.However,
whetherthiswassolelycausedbythe institutionof thesepoliciesis unlikely –at the same time that
ShinzoAbe waselected,there wasameasureddecline inglobalriskaversion,andthe expectedinterest
rate differential inbondmarketswidenedatthe same time.(Botmanetal.,2013) Both of these
phenomenawere expectedtocause significantdepreciation,andtheydid.Anotherpossibleexplanation
isthat the safe havenbehaviorof investorsandcurrencytradersdissipatedasthe promise of renewed
inflation ora lessfavorable exchange rate threatenedthe valueof theirYenholdings.Investorswhofled
to safetygenerallyhadsignificantvolumesof holdingsinthe currency,andtherefore asmall numberof
investorsfleeingtoothercountrieswouldhave anoutsizedeffectonthe exchange rates.Whicheverthe
case,overthe shortterm,the Japanese economy came outof recessionand saw positive growth over
the course of the followingyear, raisinghopesthat the malaise of the previous20years,dubbed“The
Lost Decades”were over.This,plusthe factthat the exchange rate hasnever approached the highsof
2012 (averagingover100 JPY/USDfrom October2013 onward,versus76 JPY/USD in2012), have greatly
contributedtohisability tostayin powerfor4 overconsecutive years.
NaturalDisasterRisk, Impacts, and theYen
Japanas a nationishighlyprone tonatural disasters,beingsurroundedbywateronall sides,andsitting
on the largestintersectionof tectonicplatesinthe world.Consequently,the riskof typhoonsand
earthquakesstrikingthe nationisveryhigh. While resiliencymeasures are relativelycommon(seawalls,
earthquake-resistantarchitecturalfeatures,etc.) theydonotprotectagainstthe mostcatastrophicof
natural disasters.Eventslike the earthquake andtsunami of 2011 andFukushimanucleardisaster are
unpredictable,and canon veryshortnotice induce a needbythe Japanese governmenttoborrow
money,andtake otheractionswhichserve toweakenthe Yeninthe short-term.Because theseevents
happenindependentlyof political andothereconomiccrises,therecanbe very little guarantee that

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ITRN 701 – PolicymakinginaComplex World
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Japanese Yenholdingswill maintaintheirvalue betterthanotherpossibilities. Despitethe intuitiveness
of thisreasoning,the JapaneseYenactually appreciated duringthe mostrecentrisk-off episode related
to a significantnatural disaster,the 2011 Great East JapanEarthquake.(Botmanetal.,2013) Thiswas
likelydue tospeculationonthe repatriationof assetsheldabroadbyJapanese companies,whichnever
occurred.Thisstands insharp contrastto what happensduring domesticnatural disasterswithmost
othernations,whousuallysee theircurrenciesdepreciateinthe shortterm,asgovernmentsborrow
money,interestratesare lowered, andexternal demandforthe currencydecreases.Inthese cases,the
concernsaboutthe effectsoneconomicgrowthandthe consequencesof increasedborrowingto
rebuildanareawill leadtocapital flight,asanyperceivedincrease inbalance of paymentsriskinessand
slowereconomicgrowthare associatedwithweakening of currencies. Thishasthe potential tobecome
a self-fulfillingprophecyif tradersascribe tothisphilosophy.
The ComplexityParadigmin Practice
The complexityparadigmprovidescompellingreasonsforbothwhythe Japanese Yencouldbe a safe
havencurrency,andother reasonswhyitmay onlyappearto be so.To determinethe nature of these
exchange rate changes,itisworthwhile toexamine the behavioral aspectsandincentive structures
behindthe tradingof the currency,withrespectto the institutional setupof the market.
Trader Behavior
The primaryreasonthat the Japanese Yenistreatedlike asafe havencurrencyis thatother traders
consideritto be so, whichmotivatestheirbehaviorandprovidesaself-perpetuatingsetof incentivesto
treat itlike one. Tradersare absolvedfrom manynegative consequences if the marketmovesdifferently
than the majority expected,andthusthere isa compellingincentivetomimicthe majorityof traders.
The echo chambercreatedbytrader behaviorcreatesvirtuousandviciousfeedbackloops,depending
on the seculartrendof the market. Furthermore,currencytradersandinvestorscanmove significantly
fasterthan the Japanese political systemcanpossiblykeepupwith;all atrader hasto do is place an
orderor buy a derivative,while the Bankof Japanmust take time toanalyze the currenteconomic
fundamentals,aswell as any changesinthe financial systemfromsafe-havenbehaviorbefore takingany
action.This institutionallagallowsforthe Japanese yentoactas a relativelyreliable short-termhedge
againstfluctuationsinexchangerates inothercurrencies,asthe governmentisunlikelytomake an
instantaneousreactionwhichwouldcause investorstolose asignificantpercentageof theirpositions.
MacroeconomicSignaling
In the short term,there isoftenno discernible differenceinnetcapital inflowsoroutflows ineconomic
statistics, whichisconsistentwithmarketbeliefsthatriskappetiteswill pickupagainshortly,andthata
shockperceivedtobe short-termwill notradicallychange investmentsandlong-termplanning.The
Bank of Japan will oftenallowthe Yentofluctuate inthe shortterm to preserve future efficacyof its
policymotions.Itisonlywhenaprolongedincrease inthe exchangerate changesthe economic
fundamentalsof the nationthatthe bankwill intervene. (Botmanetal.,2013) In complexityterms,the

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ITRN 701 – PolicymakinginaComplex World
Final Paper
networksof traders,whoact in theirownself-interests,adapttochangingglobal conditionsfasterthan
the Japanese institutions.Asaresult,the Japanese central bankoftendecidestotake await-and-see
approach and not immediatelyinduce ashock,reinforcingthe view thatitisa reliable safe haven.
MarketArchitectureand Psychology
Exchange rate changesfor the Japanese Yenduringrisk-off episodes are oftennotdue tochangesinthe
level of capital inflows,butinsteadare due toan increase in Yen-denominated derivativestrading.
(Leung,2016) Inthe shortterm,such tradingleadstodramatic changesinthe spot exchange rate,
mostly due to the increased net non-commercial (read: speculative) exposure to the Yen. This, therefore,
leadsJapanese commercialentitiestoact inaccordance withtheirbeliefsregardinghow longthe Yen
will be depressedbythe risk-offepisode,inadditiontohow longtheybelieve theirpeersthinkthe
episode will last(toanextent).Becausestatisticsaboutcapital flowslagbehindthe behaviorof the
financial markets,the onlyindicatorsthatJapanese citizensandcompanieshave toworkwithare the
mostrecenteconomicstatisticsandthe marketsentiment.Asaresult, one candeduce that Japanese
businesses willnotchange theirbehaviorduringthe switchfromrisk-ontorisk-offattitudes,untilthey
observe changesinthe underlyingeconomicfundamentals orcan make an assessmentthat the risk-off
periodisnotcertainto endquickly.
Giventhe lackof significantchange inthe economicfundamentalsduringrisk-off episodes,one caninfer
that the Japanese peoplehave developedacertainlevel of tolerance forthese shocks,anddemonstrate
a great deal of resiliency. Forthisandotherreasons,itis onlywhenthe shockbeginstorunthe riskof
fundamentallyalteringthe systemthatthe Japanese Government/Bankof Japanstepsin. However,the
strengthof thisresiliencywill be tested, asanagingpopulationbeginsdrawingdowntheirsavingsand
interestratesonJapanese bondsrise.
ComplexityandRisk – Is the YenTruly a Safe Haven Currency?
Creating Currency Stability
The same phenomenathatcreate fiscal crisescanalso create currencycrises,as demonstratedbythe
appreciationof the Japanese Yenafterthe 2011 Great East Japan Earthquake.There are multiple
feedbackloopswhichdrive the behaviorinthe Yen,whichpositivelyreinforce eachother.Firstof which
isthe feedbackloopbetweentradersdealinginthe Yenpositivelyreinforcingeachotherthatthe yenis,
indeed,asafe havencurrency.The resultof thisfeedbackloopthenbecomespartof anotherfeedback
loop,drivingamass of traders to speculate onthe yenholdingorincreasingitsvalue.Atthispointin
time,the fasterthe increase inthe Yen,the more reinforcementinthe traders’mindsthatthe Yenisa
safe havencurrency. The Bank of Japan and the Japanese governmentobserve thisrelationship,and
enterintoa negative feedbackloopwiththe traders,inwhichthe governmentattemptstomaintain
long-termstabilityinthe currency,whilethe tradersseektomaintainorincrease the value of their
holdings,keepingasteadyflowof demandforthe currency.While the feedbackloopbetween
institutionsandtradersexistsinmostothermajoreconomies,the near-uniquevulnerabilityof the

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ITRN 701 – PolicymakinginaComplex World
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Japanese currency(andbyextension,the economy) toexogenouseconomicandpoliticalevents,in
conjunctionwithitsdomainoveramajorworldfinancial hub,create anenvironmenthospitable to
speculators.
Short-TermTrading Incentivesand Objectives
Perhapsitis notproperto call the Japanese Yena“safe haven”per se.One majorquestionthatcould
change the nature of howthe Yenisviewedinvolvestowhatextentthe behaviorof the speculatorswho
deal inYen derivatives (assetsdenominatedinYen) isinfluencedbydisturbancesin“normal” trading
patternsinhigher-yieldingassets.Ithasalreadybeenestablishedthatthese sharpappreciationsinthe
yenduringrisk-off periodshappenindependentof significantfundamental changesinthe Japanese
economy (butnotof those of the worldeconomy),sointhiscase,how can one determine the
proportionof traderschasingthe possible returnsthatbettingon(oragainst) the Yen?The early traders
have a vestedinterestinthe Yenbeingviewedasa safe haven,because thenthey,asthe mostlikely
earlyadopters,cansell off at the top of the marketand likely turnaprofit,leavingotherinvestors to
incurlosses. While there are othersafe havencurrenciesinthe worldmarket,the Japanese Yenisbyfar
the most vulnerable to speculative attacks due to the ubiquity of its use worldwide as a reserve currency,
itshighliquidity,andthe underlyingcomplexityof the Japanese financial system.
MarketBuying and Selling Dynamics
External economicshockshave atwo-foldeffectonthe Japanese economy,especiallywhen they occur
inone of Japan’slargesttradingpartners.Firstof these effectsisareductionincross-border
transactions,whichcreatesadecline in the flow of foreignexchange transactions.Thisgreatlyincreases
the level of exchange rate volatility,ceterisparibus,throughareductioninboththe supplyanddemand
of Yen.Thismagnifiesthe effectsof largertransactions throughlowerliquiditylevelsinthe market,
creatinglargerchangesinthe price of the currency whencomparedtoperiodsof higherliquidity.
Anotherphenomenonworthexaminingisthe size of the demandshockthatinduces the appreciationof
the Yen,and what role financial liberalismandthe presence of majorfinancial exchangesplayinboth
the size and volume of these transactions.
Giventhe magnificationeffectof periodsof lower marketliquidity,itisalsoworthwhile totake a lookat
the way the marketbalancesbuyersandsellersof Yen-denominatedassetsduringrisk-off periods.Large
movementsinanysecurity(currency,stock,bonds,etc.) are drivenbyamismatchinthe numberof
buyersandsellersonthe market.Thisisthe primaryreasonwhyboth currencyand securityprices
change by the second – at anygivenpointintime,there will be amismatchof buyersandsellers that
cause price changes,as well asthe complicationsof special ordersandderivatives.Inthe case of the
safe havenphenomenon,the questionthenbecomeshow the psychologyof the buyersandsellers
drivesthe market,ratherthan the traditional reliance onstatistics.Inotherwords,how dothe sellers’
viewsaboutwhetherthe Yenwill appreciate intheseshorttermperiodsserve as ashort termdriverin
the price change of the Japanese Yen?

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ITRN 701 – PolicymakinginaComplex World
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Conclusion
The aim of thisstudy isto discernthe probabilitythatamongsafe havencurrencies,thatthe Japanese
Yen, due to structural factors whichintroduce inherentlyhigherlevelsof precariousness,ismore subject
to speculative behaviorthanothers,aswell asdeepenthe pool of knowledgesurroundingsafe haven
currencies.The higherrate at whichthe Yenappreciatesanddepreciatesduringrisk-off andrisk-on
cycleswouldsuggestthatthere isa higherlevel of speculationthaninothersafe havens,despite the
othercurrenciesbeingnear-ubiquitousintheiruse.Furthermore,anotherquestiontoexplore inthe
contextof thisstudywouldbe fromwhere the sell-off begins.Safehavenbehaviorisintuitivelymore
likelytobe triggeredbyexpatriatetraders,howeveritismuch easierforJapanese traders(whooften
have the highestproportionof theirpositionsinYen) totriggera sell-off,takingadvantage of the
inflatedvalue of the Yentoimprove theirownforeignpositions.Theseare phenomenathatare often
not adequatelyexploredorexplainedbythe conventional toolsof economicsandfinance,which canbe
greatlyrefinedthrough analysisfromacomplex systemspointof view.

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