The Yen’s Negative Beta

Greg Mankiw sees this chart and wonders, “Is the yen a negative beta asset?” Well, let’s take a look.
The graph below shows the daily changes for the past year of the S&P 500 (^GSPC) on the X-axis. On the Y-axis are the daily changes of the Yen ETF (FXY). The slope of the least-squares line is the estimated Beta coefficient, which in this case is -0.3905.
So, yes Professor. It is.

Posted by on May 29th, 2008 at 4:09 pm

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