As the Yen and Japan continue to get more interesting in my mind, I just wanted to resurrect some posts that I have done on Japan and the Yen and sort them by my favorites.
Just to add a chart, here is one using data from the Federal Reserve Bank of St. Louis (FRED). While the extreme correlation between the Yen and the S&P 500 has limited the opportunity available in the Yen, the correlation has recently weakened as Japanese deficits have worsened and the Yen stopped getting stronger.
asTheEconomist(xyplot(DEXJPUS,main=”US Dollars for Japanese Yen Since 1970\nSource: Federal Reserve Bank of St. Louis”))
#merge the weekly returns of Yen and SP500
ret <- na.omit(merge(weeklyReturn(DEXJPUS),weeklyReturn(SP500)))
#use the rolling correlation method from PerformanceAnalytics chart.RollingCorrelation
rollcor <- as.xts(rollapply(ret, width = 208, FUN = function(x) cor(x[,
1, drop = FALSE], x[, 2, drop = FALSE]), by = 1,
by.column = FALSE, na.pad = FALSE, align = “right”))
strip=strip.custom(factor.levels=c(“S&P 500″,”Correlation (Rolling 4 Year) S&P 500 and USD/Yen”,”USD/Japanese Yen”)),
main = “S&P 500 and USD/Yen Since 1970\nSource: Federal Reserve Bank of St. Louis”)