Resurrect Posts on Japan and the Yen

October 22, 2012

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

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.

Japan Trade by Geographic Region
Japanese Trade and the Yen
Japan Intentional or Accidental Pursuit of Deflation
Japan Trade More Specifically with Korea

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.

From TimelyPortfolio

R code:


getSymbols(“SP500″, src=”FRED”)

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”)

To leave a comment for the author, please follow the link and comment on their blog: Timely Portfolio. offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Tags: , ,

Comments are closed.

Search R-bloggers


Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)