USDJPY XCCY Basis的驅動因素與投資策略分析

Abstract

本研究探討USDJPY XCCY Basis的驅動因素與其投資意涵。由於日本金融機構對美元資金具有長期且結構性的高度需求，使得 USDJPY XCCY Basis 持續維持於負值水準。本文使用2011年9月至2024年12月之月資料建立時間序列迴歸模型，以五年期USDJPY XCCY Basis為被解釋變數，分析主要市場變數之影響，並檢驗 2021年後LIBOR 退場是否改變其定價結構。 實證結果顯示在單變數的OLS迴歸下，USDJPY 匯率、美日利息差差、美日信用利差差與交易成本，皆與五年期 USDJPY XCCY Basis 呈顯著負向關係，反映當美元融資需求上升或資金壓力升高時，Basis將越趨負值。然而在複迴歸模型中，僅USDJPY匯率及美日信用利差差仍維持負向且顯著，顯示匯率與信用市場條件為 Basis 的核心驅動因素，亦支持Liao (2020) 信用市場與外匯市場存在外溢效果之理論。而2021年LIBOR轉換則未呈現顯著影響。 此外，長期為負的USDJPY XCCY Basis提供投資人提升收益之機會。本文比較美元為基礎投資人「直接投資美債並以IRS轉為浮動利率」與「透過XCCY取得日圓投資於日債並以IRS轉為浮動利率」兩種投資策略之淨現值，結果顯示後者相較前者在研究期間內平均可提升約 1.66% 之淨現值，與日本財務省對跨境債券投資行為之觀察相符。綜合以上結果，USDJPY XCCY Basis 不僅反映美元資金之結構性稀缺與信用市場外溢效應，亦對跨境資產配置具有實質意涵。

This study examines the determinants and investment implications of USDJPY XCCY Basis. The persistent negative level of the USDJPY Basis is largely attributable to the structurally strong and long-standing demand for USD funding by Japanese financial institutions. Using monthly data from September 2011 to December 2024, this study constructs time-series regression models with the five-year USDJPY XCCY Basis as the dependent variable, in order to examine the effects of major market factors and to assess whether the LIBOR phase-out altered its pricing structure after 2021. The empirical results show that, in univariate regressions, the USDJPY exchange rate, the U.S. – Japan interest rate differential, the U.S. – Japan credit spread differential, and trading costs are all significantly and negatively related to the five-year basis. This indicates that increases in dollar funding demand or funding market pressures drive the basis further into negative territory. However, in the multivariate regression model, only the USDJPY exchange rate and the U.S. – Japan credit spread differential remain significantly negative, suggesting that exchange rate conditions and credit market factors are the core drivers of the basis. This finding is consistent with Liao (2020), supporting the presence of spillover effects between credit markets and FX hedging markets. The LIBOR transition in 2021 does not exhibit a significant impact. In addition, the persistent negative level of the USDJPY Basis offers investors the opportunity to enhance yield. This paper compares two investment strategies for USD-based investors: (i) directly investing in U.S. bonds and swapping fixed coupons into floating rates via IRS, and (ii) using USDJPY XCCY to obtain JPY, investing in Japanese bonds, and swapping the fixed coupons into floating rates via IRS. The results show that the latter strategy delivers an average NPV enhancement of approximately 1.66% over the sample period, consistent with observations by Japan’s Ministry of Finance regarding cross-border bond investment behavior. Overall, the USDJPY cross-currency basis reflects not only structural dollar scarcity and spillover effects between credit and FX markets, but also has meaningful implications for cross-currency portfolio allocation.