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(11/9) 急激なドル・キャリー・トレードの解消は可能性は少ない (FX Week)
JUGEMテーマ:時事ニュース
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2009119日にFX Weekに掲載された記事です。

 

ドルがリスクの高い資産を購入するための資金調達の通貨としてキャリー・トレードに使われているという話は良く聞く話です。金利の低いドルで資金調達を行い、それを金利の高い通貨に交換して、金利が高くリスクも高い資産を購入するというものです。これが現在アメリカの景気が好調になってきたように見える経済指標が発表されると、ドルが下落するという、通常とは逆の動きを生み出す源泉となっています。

 

米国の景気がおぼつかなくなるとキャリー・トレードに対する需要は減るはずです。この記事ではそのことは認めながらも、Fedが低金利政策を維持している間は需要が減ることはないだろうとしています。

 

[抄訳]

FX Weekが最近アナリストに対して行った調査によると、ドル金利の上昇がドル売りのポジションの狂乱的な解消につながる可能性は少ない。

 

Fedが指標金利を0-0.25%の水準に昨年の12月以降抑え続けているため、ドルはリスクの高い資産を購入するための資金調達の通貨としてとらえられ、この手の取引はドル・キャリー・トレードと呼ばれている。

 

米国の景気回復に対して疑問がもたれるようになり、安全を求めてドルに対する重要は増えると考える人がいる一方で、ドルの金利が上昇しても、昨年の後半に円がキャリー・トレードの解消の中で上昇したような動きはドルに関しては起こらないだろうと考えるアナリストもいる。Fedが低金利政策を変更しない限り、キャリー・トレードにドルが使われる状態は変わらないだろう。

 

 

[本文]

 

Sharp dollar carry trade unwind ruled out

FX Week

November 9th 2009

By Alastair Marsh

 

LONDON - A rise in dollar interest rates is unlikely to lead to a frantic scramble to close out short dollar positions, according to analysts polled by FX Week.

 

As anticipation rises for the US to abandon its near-zero interest rate policy, speculation is mounting over the effect this will have on the US unit. The US Federal Reserve has maintained benchmark interest rates between 0-0.25% since December last year, positioning the US dollar to be used as a funding currency in risk rallies since March.

 

Ian Stannard, London-based senior currency strategist at BNP Paribas, said he expects the dollar carry trade to lose steam by the first half of next year at the latest. He predicts that, as one-off factors such as government-sponsored programmes that have hastened the recovery seen to date are withdrawn, funds will flow back into the US dollar, returning some of its safe-haven status.

 

"The rebound in asset prices is fuelling this desire to participate in a so-called dollar carry trade, but the attractiveness of that will start to decline next year if we see the recovery process being called into question," said Stannard. "The market is overestimating the pace of recovery."

 

Analysts said that, even when rates do rise in the US, it is unlikely the dollar will experience the rapid appreciation seen in the yen late last year under a wave of liquidations of yen positions. In the week between October 3 and 8, 2008, for example, yen short positions by Japanese retail traders fell from $40 billion to $24 billion, according to JP Morgan (FX Week, October 13, 2008). That month, the yen appreciated approximately 30% against the Australian dollar, 20% against the New Zealand dollar, 50% against the euro and sterling, and 2% against the dollar.

 

"There is a big difference between what will happen next year and what happened in September last year," said Peter Frank, director of G-10 currency strategy at Société Générale in London. "There was a big shortage of dollars and everyone was scrambling for them because the credit system had seized up. I don't see a seizure in the credit system as a viable prospect this time, but I do except investors will be willing to hold less short dollar positions."

 

"There will be a more gradual position adjustment rather than a sudden shock. It will not be a mass unwinding but a more gradual process," added Stannard.

 

However, the dollar will remain popular as a funding currency until the Federal Reserve indicates a change in its rates policy, said Frank. "For as long as the short-term rates that fund the carry trade are near to zero, the dollar will be the preferred currency for the trade. For them to move away from this, we will need a signal from the Fed," he explained.

 

| Merlion | 05:03 | comments(0) | trackbacks(0) | pookmark |
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