Price volatility on the USD/JPY market as a measure of investors’ attitude towards risk

The aim of the paper is to show the relationship between the valueof Japanese yen and the investors’ risk aversion. The correlation results fromthe application of carry trade strategies by investors. An increase in carrytrade positions is associated with the decrease in risk aversion. The Japaneseyen is one of the most popular carry trade funding currency and therefore thechange in the value of this currency reflects the change in the investors’mood. This paper shows that there is a negative relationship between theUSD/JPY and the risk aversion measured by volatility index (VIX)