Treasure Chest | Mar 05 2012
– ANZ sees no sign of yen repatriation strength
– Data analysis shows from mid-March yen tends to fall against US dollar
– ANZ suggests those looking for yen weakness wait to establish positions
By Chris Shaw
March signals the end of the Japanese financial year but in the view of ANZ Banking Group, yen strength from repatriation flows at the end of the year is more of a myth than reality. In fact, the bank's senior FX strategist, Khoon Goh, notes the yen tends to weaken between mid-March and early April.
Analysing the average monthly percent changes for the USD/JPY pair shows for March the increase is around 0.3%, meaning the yen tends to fall this month. Since 2000 the USD/JPY rate has risen in March in six of the years, while falling in the other six.
In contrast the yen tends to exhibit its greatest monthly strength in August, the USD/JPY rate posting an average decline for this month of 1.6% since 2000.
Looking more closely at the USD/JPY moves, Goh notes the first half of March tends to show some yen strength, then from mid-March yen weakness takes over until early in April. This is the same period as there is supposed to be repatriation of funds by Japanese corporations.
For Mid-March to early April the USD/JPY has actually risen in each of the past 10 years with the exception of 2004, with Goh noting the median percentage change is actually significant at 1.9%.
ANZ's core view is for the USD/JPY to stay weak, though near-term the bank sees scope for the USD/JPY to head higher if the seasonal pattern identified again plays out. This leads Goh to suggest those wanting to position themselves for yen weakness may be best to wait until mid-March.
Technical limitations
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