JPY LIBOR 2007-2010: shorter maturities mean-revert, longer ones form trends

Statistically significant patterns in the Japanese yen LIBOR time series have been discussed on this site in October 2008, based on a data set ending in summer 2008. The financial panic of 2008 that followed (I reserve the word "crisis" for a broader context) left its imprints on the Japanese yen, one of the world's primary funding currencies. The data presented here cover the period from August 16, 2007 (the day Countrywide Financial made the news, triggering a change in the US Fed stance) through July 30, 2010. I focus exclusively on autocorrelations within the yen LIBOR time series for various maturities, and on the cross-correlations between them. Surprisingly, the patterns are very similar to those of the 2008 report, despite the fact that the most dramatic movements in JPY LIBOR took place in fall of 2008 and were not analyzed previously.

Forex 24x7