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.
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.
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:
You can create a custom table with OCED StatsExtract showing monthly exchange rates of the Yet to Dollar since 1957:
The Bank for International Settlements (BIS) has statistics for monthly effective and foreign exchange rates since 1994.
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:
Exchange Rates displays a history table for daily rates for the last 6 months. Again, you need to scrape the information: