36 Figure 4.7 : arbitrage non couvert YEN/$ Investisseur emprunte en Yen à 0.40% par anStartEnd¥ 10,000,000x¥ 10,040,000 Rembourse¥ 10,500,000 Touche¥ ,000 GainMarché monétaire en yen360 daysS =¥ /$S360 = ¥ /$Marché monétaire en US dollar$ 83,333,333x 1.05$ 87,500,000Investit en dollars à 5.00% par anIn the yen carry trade, the investor borrows Japanese yen at relatively low interest rates, converts the proceeds to another currency such as the U.S. dollar where the funds are invested at a higher interest rate for a term. At the end of the period, the investor exchanges the dollars back to yen to repay the loan, pocketing the difference as arbitrage profit. If the spot rate at the end of the period is roughly the same as at the start, or the yen has fallen in value against the dollar, the investor profits. If, however, the yen were to appreciate versus the dollar over the period, the investment may result in significant loss.
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