【日元套利交易平仓,高收益新兴市场货币承压】日元快速升值,正在终结一项收益丰厚的新兴市场交易策略。自 7 月末日本当局出手托举日元以来,摩根大通一项新兴市场货币指数以日元计价已暴跌超 4%。本周市场猜测日本央行或将进一步加息,交易员争相平仓日元融资套利交易,下跌行情进一步加速。尽管美元走弱、市场对美联储加息预期降温,推升新兴市场货币兑美元收益,但日元套利交易集中平仓正在加剧整个外汇市场的波动。摩根大通追踪主要新兴市场货币兑美元一月期隐含波动率的指数,本周飙升至接近三个月高点。这对以美元融资的新兴市场外汇交易而言同样不是好消息。
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