JGB VIX and the Japanese Yen Part 2

January 1, 2017
By
John C. White
,
Yoshiki Obayashi
,

This is the second 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]