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    【外脑精华·北京】日元与其他亚洲货币之间的正相关关系持续了十年之久。但自2006年起，二者间的关系转为负相关，这种负相关关系不仅表现在年度数据上，而且在实时数据上也有了明显的反映。

　　本文指出，这很可能是一个结构性趋势的开端，其动力来自实体经济和资本市场两个领域。出于结构性的理由，我们看好日元之外的亚洲货币，尤其是人民币。另一方面，即使日元价值存在轻微的低估，而且在投资者暂时的避险行为的推动下，今年上半年有可能出现反弹。我们仍然认为，日本无法提供具备足够吸引力的资产，以支持日元走强。换言之，未来若干年间，日元很可能远比其他亚洲货币疲软，其主要原因在于，日本作为一个经济体，无法充分得益于其他亚洲经济体的成长。此外，日本金融“本土偏好”的下降会加剧这种趋势。

日元与其他亚洲货币的关系发生逆转

　　2006年，日元与其他亚洲货币之间的5年滑动的相关度开始下降，到2007年已经转为负值。以实际有效汇率衡量，过去18个月之中，日元与其他亚洲货币之间的分化趋势非常明显。在此期间，除新台币之外，所有其他亚洲货币都与日元的走势背道而驰。

　　2006年，日元与其他亚洲货币之间的5年滑动的相关度开始下降，到2007年已经转为负值。以实际有效汇率衡量，过去18个月之中，日元与其他亚洲货币之间的分化趋势非常明显。在此期间，除新台币之外，所有其他亚洲货币都与日元的走势背道而驰。

　　数十年来，日元一直是亚洲货币的“核心”，就如同美元是美洲货币的核心、欧元是欧洲货币的核心一样。然而，这种货币关系已经被打破。出现这种情况的原因是多方面的。

亚洲高增长激发日本对外投资

　　近年来，亚洲内部的跨国资本流动格局发生了根本性转变：从2006年夏季开始，日本的对外证券投资和直接投资（FDI）开始加速增长。这些外流资本有很大一部分留在了亚洲内部。尤为突出的是，日本流入其他亚洲股市的证券投资规模很大。

　　首先，日本央行发布的日本国际投资头寸报告表明，2006年，日本对亚洲的直接投资出现了急剧增长。2005年末至2006年末，日本对北美的直接投资余额增长了1.0万亿日元（约合90亿美元），对欧洲增长了3.3万亿日元（310亿美元），对亚洲增长了2.4万亿日元（220亿美元）。以相对于投资目的地GDP的比率衡量，2006年日本对亚洲的直接投资规模非常庞大。

　　同时，日本对亚洲的证券投资也达到了很大规模，而且在加速增长。日本央行的国际投资头寸数据表明，2006年日本对国外股市的投资额出现了大幅增长，对美国、欧盟和亚洲的投资额分别为3.9万亿日元（360亿美元）、4.4万亿日元（410亿美元）和1.9万亿日元（180亿美元）。以相对于投资目的地GDP的比率衡量，2006年日本对亚洲证券投资的规模也非常庞大。

　　而且，从日本央行发布的最新国际收支数据来看，2007年，日本进一步加大了对于亚洲的证券投资力度：2007年，日本对亚洲的证券投资额达到了4600亿日元（40亿美元）。鉴于2007年的信贷危机，这个数字已经很大。根据国际收支数据，2006年和2005年的相应数字分别为6600亿日元和1000亿日元。

　　资本由日本大规模流向其他亚洲国家的趋势是很容易理解的。以中国为中心，日本以外的亚洲国家是全球经济增速最高的地区。日本之所以投资于该地区，不仅是为了在通向世界经济的供应链上夺取市场份额，也是为了在中国及其他亚洲国家自身的市场中扩充实力，以便在其中等收入阶层的起飞过程中获利。

　　资本由日本大规模流向其他亚洲国家的趋势是很容易理解的。以中国为中心，日本以外的亚洲国家是全球经济增速最高的地区。日本之所以投资于该地区，不仅是为了在通向世界经济的供应链上夺取市场份额，也是为了在中国及其他亚洲国家自身的市场中扩充实力，以便在其中等收入阶层的起飞过程中获利。

经济地位衰落、基本面疲软抑制亚洲对日投资

　　日本央行的国际投资头寸数据表明，日本获得的直接投资规模极小。2006年，美国对日本的直接投资额为-3420亿日元（-30亿美元），欧洲的投资为5110亿日元（50亿美元），亚洲其他国家的投资为1930亿日元（20亿美元）。

　　目前，美国和欧元区仍然是各自所在地区的核心经济体。而不同于它们，日本已经不再是亚洲经济的主导力量了。对日本而言，不利的人口趋势无疑是重大挑战，但日本面临的问题并不仅限于此。例如，在许多日本企业中，权力仍然决定于资历而非才能，政府就更是如此，这与中国形成了鲜明对照。再则，日本的性别不平等问题恐怕也比其他亚洲国家严重。此外，从理论上说，日本要应对劳动力萎缩和人口老龄化，应该进一步改善人力资本和物质资本，并鼓励国民承担风险。但现在还不清楚，日本是否能够制定相关的经济政策。仅仅是股市市盈率较低并不足以吸引外资流入。

日本投资者再次启动对外投资大潮

    一个经济体在总体上的金融“本土偏好”可以用投资与储蓄之间的相关度来衡量。以此标准衡量，近年来日本的金融“本土偏好”虽有所下降，但其原因主要在于政府干预汇市，而非私人部门的资本外流。事实上，根据日本散户投资者投资状况的一些指标，我们认为，今后日本私人部门减持日元资产、增持非日元资产的空间还非常巨大。我们认为，上文的数据所显示的、2006年中－2007年中之间日本的资本外流仅仅是一个长期性、结构性趋势的开端。全球金融动荡会暂时打断这一进程，但一旦局势稳定，日本的资本外流就会恢复 。

    除不动产之外，日本居民部门还持有价值约13万亿美元的流动性金融资产，其中存款占50％以上，而其直接持有的非日元资产还不到3％。看起来，这种非常极端的投资状况越来越与世界脱节了。我们认为，随着日本之外的投资机遇越来越突出、金融全球化的步伐不断加快，日本散户投资者将再次开始大举对外投资。

英文原文：JPY and AXJ Currencies: A Parting of Ways

Summary and conclusions

    After being positively correlated for one generation, the Japanese yen （JPY） and Asia ex-Japan （AXJ） currencies became negatively correlated in 2006, and this relationship intensified in 2007. This negative correlation is not only distinct on an annual, or trend, basis, but is visible on a real-time （day-to-day） basis. In this note, we argue that this will likely be the beginning of a structural trend, propelled by both real economies and capital markets. We maintain a structurally positive outlook toward the AXJ currencies, led by the CNY. However, even though the JPY is still slightly under-valued and could rally in 1H, on the back of temporary risk aversion- motivated flows back into Japan, we do not believe that Japan offers adequate, attractive enough assets to keep the JPY strong. In other words, the JPY will likely significantly lag the AXJ currencies in the years ahead, mainly because Japan, as an economy, is unlikely to fully capitalise on the rise of AXJ, in our view. The prospective decline in Japan's financial 'home bias' will exacerbate these trends.

Documenting the negative correlation

    The five-year moving correlations between the JPY and selected AXJ currencies began to decline in 2006, and turned outright negative in 2007.

    In real effective terms, the divergent trends have also been stark during the past 18 months. With the exception of the Taiwanese dollar, all AXJ currencies moved in the opposite direction to the JPY during this period.

    For decades, the JPY had been the 'core' of the Asian currencies, much as the dollar remains the core of the currencies of the Americas and the euro is the core currency in Europe. However, this relationship in Asia has broken down dramatically.

Our thoughts

    We have the following thoughts on this important trend:

    Thought 1. Strong Japanese outflows to Asia, attracted by the solid fundamentals. Cross-border capital flows within Asia have gone through a fundamental change in recent years: portfolio and FDI outflows from Japan, in general, accelerated starting in summer 2006. But a good portion of these flows has stayed in Asia. In particular, portfolio flows into AXJ equity markets have been very large. According to Japan's International Investment Position at Year-End 2006 - a research report published by the BoJ – direct investments to Asia rose dramatically in 2006. The increases in the stocks of FDI from 2005 to 2006 were ￥1.0 trillion （US$9 billion） for North America, ￥3.3 trillion （US$31 billion） for Europe and ￥2.4 trillion （US$22 billion） for Asia. But as a percentage of the recipient countries' GDP, the FDI flows into Asia were substantial.

    Similarly, portfolio flows from Japan to Asia have been large, and accelerating. The BoJ’s data show a sharp increase in equity outflows from Japan: ￥3.9 trillion （US$36 billion） to the US, ￥4.4 trillion （US$41 billion） to the EU, and ￥1.9 trillion （US$18 billion） to Asia. Again, normalised into a percentage of the GDP of the recipient countries or the underlying market capitalisation, the flows into Asia were substantial.

    Further, if we look at recent portfolio flows, Japan has further intensified its investment in Asia in 2007 according to the balance of payments （BoP） data. Indeed, we saw portfolio flows to Asia of ￥460 billion （US$4 billion） in 2007. In light of the credit crisis in 2007, this is a large figure, compared to ￥660 billion in 2006 and ￥100 billion in 2005.

    Further, if we look at recent portfolio flows, Japan has further intensified its investment in Asia in 2007 according to the balance of payments （BoP） data. Indeed, we saw portfolio flows to Asia of ￥460 billion （US$4 billion） in 2007. In light of the credit crisis in 2007, this is a large figure, compared to ￥660 billion in 2006 and ￥100 billion in 2005.

    Large capital flows into AXJ are easy to comprehend. AXJ offers the highest-octane growth in the world, centred on China. Japan is investing to not only gain market share on the supply chain for the world's economy, but also to build up its presence in China and other countries in Asia in order to capitalise on the impending rise of the middle class.

    Thought 2. Capital flows from Asia to Japan are very modest, discouraged by the weak fundamentals in Japan. According to the BoJ’s IIP （international investment position） data, FDI inflows into Japan have been exceptionally modest. Total FDI flows were a negative ￥342 billion （-US$3 billion） from the US in 2006, ￥511 billion （US$5 billion） from the EU, and only ￥193 billion （US$2 billion） from the rest of Asia.

    Unlike the US and Euroland, which are still very much the core economies of their respective regions, Japan is no longer a dominant force in Asia. Demographic headwinds are an obvious challenge for Japan. But there are other issues also. For one, many corporations, and certainly the government, are still ruled by seniority rather than meritocracy, in stark contrast to China. At the same time, gender equality may be more of an issue in Japan than elsewhere. Japan, in theory, should fight the shrinking labour force and the aging population with regimes that further enhance the improvement of human capital and physical capital, and incentivise risk-taking. But it is not clear that Japan has devised coherent economic policies aimed at tackling these problems. Low P/Es themselves will not be enough to attract investment flows, though short-term speculative flows could materialise from time to time.

    Thought 3. Declining financial 'home bias' of the Japanese retail investors. While Japan's overall financial 'home bias' - measured by the correlation between investment and savings across countries - may have declined in recent years, until mid-2006, this was due primarily to official currency interventions, rather than outflows from the private sector. In fact, looking at some indicators of the portfolio holdings of Japanese retail investors, we believe that there is ample scope for Japan's private sector to reduce its exposure to JPY assets and accumulate holdings of non-JPY assets in the years ahead. The portfolio outflows we documented above between mid-2006 and mid-2007 marked the beginning of a structural/generational trend, in our view. These flows will be temporarily interrupted by the global financial turmoil, but once the dust settles, we believe that these outflows will resume. Japanese households control about US$13 trillion worth of liquid financial assets （i.e., excluding real estate holdings）. Of this amount, more than 50％ is held in cash deposits, and less than 3％ is held （directly） in non-JPY assets. This extreme investment posture looks increasingly out of sync with the changing world. As investment opportunities outside Japan become more evident and financial globalisation gains pace in general, we believe that Japanese retail investors will expatriate capital again, aggressively, in coming years.

责任编辑：木木