TOKYO, Sept 8 — A statistical analysis of the drivers of the dollar-yen exchange rate this year suggest that gold is the “principal” determinant, according to UniCredit SpA strategist Vasileios Gkionakis.
The study assessed the role that US and Japanese bond yields — along with global equity prices, gold and the trade-weighted dollar — play in driving the dollar-yen rate.
“The striking feature of the results is that gold has the greatest explanatory power by a wide margin over US 10-year yields (which rank second),” Gkionakis wrote in a note out yesterday.
This week, appreciation in the yen has started narrowing a recent deviation between the magnitude of the climb in gold and the levels for dollar-yen, Gkionakis said.
According to his group’s estimates, a short-term “fair value” would be around 107 per dollar.
The currency was steady at 108.44 as of 10:36am in Tokyo this morning. — Bloomberg