Liquid Insight: No contagion from Japan

Research evidence excerpt

Liquid Insight: No contagion from Japan

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Liquid Insight

No contagion from Japan

Key takeaways 02 July 2026

Rates and Currencies Research• Contrary to popular narratives Japan is not driving global rates up. Instead the BoJ and

Global JPY rates are still playing catch-up

• While correlations have increased, signs of causality are limited: no Granger causality

and low betas by historical standards GlobalMLI (UK)Rates & Currencies Research

• Instead term premia in EUR and USD diverged sharply from JPY, which suggests that Ralf Preusser, CFA

spill-over effects from Japan are limited Rates Strategist MLI (UK)

+44 20 7995 7331

ralf.preusser@bofa.com

By Ralf Preusser Oliver Levingston

Chart of the day: Japan term premium (TP) diverges from US and EA FXMerrilland LynchRates (HongStrategistKong)

Over the last 12 months JPY TP has increased, while US TP has fallen pointing to limited spill-over +852 3508 4631

oliver.levingston@bofa.com

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