이 연구는 전통적인 이론과 다르게 수익률과 위험을 동시에 고려하는 포트폴리오 모형을 개발하여 이를 엔 캐리 트레이드에 실증적으로 적용하였다. 1995년 1월부터 2008년 8월까지 주별 자료와 엔 캐리 트레이드를 사용한 실증분석에서 수익률차이와 더불어 위험은 환율결정에서 통계적으로 유의적인 효과를 가지며, 2000년 이후 엔 캐리 트레이드 자본의 규모가 증가할수록 그 효과의 크기는 증가하였다. 이는 국내외 수익률이 변화할 때, 투자자는 두 국가간 수익률차이뿐 아니라 보유하고 있는 자산의 위험을 최소화하도록 포트폴리오를 재구성 한다는 것을 의미한다.

International portfolio investment flows have recently increased due to the liberalization of capital markets and the development of derivatives markets. Recent fluctuation of the exchange rates and stock prices are mainly attributed to these portfolio investment flows such as the Yen-carry trade. Portfolio investment risk also has risen accordingly. Traditional capital flows have an interest arbitrage purpose, while the recent portfolio investment flows consider returns as well as risk at a same time. Yen-carry trade is a kind of international portfolio flows, which borrow capital fund at the lower return currency ( i.e., Japanese Yen) and invest it at the higher return currency ( i.e., U.S. dollar). Volume of the Yen- carry trade seems to increase fast after the late 1990 and spreads out in the 2000s. The Japanese investors, in particular, have shown trend changes in the investment attitude from the simple interest arbitrage toward preferring the portfolio investment with higher risk. The Yen -carry trade could not have been exactly measured and not estimated empirically due to its deficient data. Although the theory and the empirical estimation could not provide a concrete evidence for the effect of Yen-carry trade on exchange rates and returns, there seem to be many increasing experiences with the projected Yen-carry trade among the Asian countries and the other sample countries. The Yen-carry trade and its re-winding process have generally brought out many fluctuations on the exchange rates and stock returns. A close correlation between exchange and return is attributed to the Yen-carry trade. The relationship between exchange rate and return in the portfolio flows, i.e., the Yen-carry trade, would be quite different from their traditional relationship from the interest arbitrage. Many empirical researches draw no common consensus on the relationship and causality between two variables. These causality and relationship seem to vary, depending on the regional data and inferential statistical techniques used. A goal of this study is 1) to develop a portfolio model to consider risk as well as return at a same time, and 2) to apply this model empirically to the Yen-carry trade during January 1995 to August 2008. Also this study 3) measures how risk factor is significant in the Yen-carry trade flows between Japan and the U.S. It is very meaningful to find how this portfolio model can fulfill a gap between the traditional interest parity model and micro-market information model empirically. Using the weekly data of net long positions of Yen futures as proxy for the Yen-carry trade during January 1995 through August 2008, evidence indicates that there is a positive relationship between return and the appreciation rate of exchange rate. This is a sharp contrast to the previous results of literatures. This implies that a Japanese investor re-balances his portfolio in oder to minimize portfolio risk when the U.S. return rises. Capital outflows from the U.S. occurs as a result. This positive relationship between two variables becomes more clarified after the 2000s mainly due to the increase in the Yen-carry trade. Indeed, the Yen-carry trade seems to get larger in volume, and its investor becomes more sensitive to risk factor than returns. Risk factor was statistically significant in determining the Yen-carry trades and the exchange rates between the Japanese Yen and the U.S. dollar. A limitation to this study lies on the difficulty of exactly defining and measuring the Yen-carry trade. Our measure of the Yen-carry trade as net long futures of Yen might underestimate the actual amount of the Yen-carry trade. The future works associated with the Yen-carry trade are required to focus on how to measure the exact amount of the carry trade.