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Does anybody know where I can find historical forward exchange rate data between the us $ and yen? I've looked for quite a while (federal reserve, OECD, Thompson Reuters, etc) but haven't been successful.

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If you're just looking for FOREX data, http://ratedata.gaincapital.com/ has a ton of it. FOREX assumes you will be taking delivery in 2 days (or 1 day in some cases).

I read your question as "if I want to buy yen at today's price, but delivered (and paid for) in 6 months, how much will it cost?". Is my understanding correct?

If so, you're talking about currency futures, which involve rollover rates.

If US banks are paying a higher interest rate than Japanese banks, there is a holding cost for the person who has the yen, even if the exchange rate remains the same. So, you have to adjust today's exchange rate for the interest the yen-holder will lose (compared to the dollar holder) in 6 months.

  • Hi Barry, your interpretation is right on. Do you know where I can find historical information about currency forwards for $ vs yen. (I do believe there's a distinction between currency forwards and futures though) – Zslice Oct 20 '14 at 7:23
  • Wouldn't currency futures and currency forwards be priced identically? If not, there would be an arbitrage possibility, no? Having said that, rollover rates are based on national bank's interest rates differences. So, if you can find the Bank of Japan's historical interest rates and the Federal Reserve's historical interest rates, I think you'll have what you need? – Barry Carter Oct 20 '14 at 15:57
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The European Central Bank has an interface for downloading daily historical exchange rates since 1999 to the Euro Dollar. The output can be exported in several formats including CSV:

http://sdw.ecb.europa.eu/browseSelection.do?node=2018794

You can create a custom table with OCED StatsExtract showing monthly exchange rates of the Yet to Dollar since 1957:

http://stats.oecd.org/index.aspx?queryid=169#

The Bank for International Settlements (BIS) has statistics for monthly effective and foreign exchange rates since 1994.

http://www.bis.org/statistics/eer/index.htm

OANDA will give you daily/weekly history on exchange rates between YEN and USD for the last five years. It is an interactive form and you will need to scrape the results:

http://www.oanda.com/currency/historical-rates/

Exchange Rates displays a history table for daily rates for the last 6 months. Again, you need to scrape the information:

http://www.exchangerates.org.uk/USD-JPY-exchange-rate-history.html

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