Yuki Masujima

Interdisciplinary seminars
French-Japanese webinar

Yuki Masujima

Deloitte Tohmatsu Financial Advisory LLC
Drivers of Post-Pandemic Currency Movement: Recurring Impacts of Sovereign Risks and Oil Prices
Joint with
Yuki Sato
Friday, May 24 2024| 11:00am to 12:00pm

Gilles Dufrénot: gilles.dufrenot[at]sciencespo-aix.fr
Kiyotaka Sato: sato[at]ynu.ac.jp


This paper tries to investigate the driving factors of FX rates, focusing on the roles of sovereign credit risks and energy prices in the post-pandemic period. We find that the yen’s safe-haven status weakened, and the European currencies became more sensitive to debt risks and fragile to uncertainty. The yen’s sensitivity to higher sovereign risks picked up after the introduction of the yield curve control (YCC) policy implemented by the Bank of Japan (BOJ), even if its policy could have reduced the volatility of Japan’s credit default swap (CDS) rates. Moreover, the type of shock (supply or demand) may change the impacts of oil prices on FX moves.

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