JGB VIX and the Japanese Yen Part 1

December 1, 2016
By
Yoshiki Obayashi
,
John C. White
,

This is the first installment of a two-part empirical paper exploring the interaction between Japanese yen exchange rates and forward-looking Japanese Government Bond (JGB) volatility as measured by the S&P/JPX JGB VIX.

Please download the full article here:

[English]

[Japanese]