The Anatomy of Repatriation: Investor Heterogeneity in Japan’s Overseas Portfolio Adjustment

Abstract

Claims that Japanese capital is ‘coming home’ are usually made from aggregate cross-border flows. I ask whether that aggregate sign is a sufficient statistic for repatriation. Using monthly Ministry of Finance transactions in foreign securities from January 2014 through July 2026, I separate banks, trust accounts, life insurers, and investment trusts and condition their purchases on public-data measures of short-end and long-duration Japanese government bond repricing. The internally locked primary tests compare investor-specific responses of foreign long-term-debt purchases at zero-, one-, and three-month horizons, with date-score Newey–West inference and Holm adjustment. None of the primary long-duration tests rejects equality across investors; parallel short-end tests also do not reject. The more robust fact is aggregation failure: 79.5 percent of months contain both buyers and sellers, and roughly onethird of gross core-group activity cancels within the aggregate. Protocol-designated asset-class gates locate heterogeneity elsewhere. Trust accounts differ from investment trusts in short debt after positive long-duration shocks, while banks differ from investment trusts in equities after positive short-end shocks. These gates survive yen-return and rate-differential controls, but the global-rate placebo results imply that the design cannot sharply distinguish a Japan-specific mechanism from common global-rate variation. Life insurers show an exploratory post-2022 decline in foreign-long-debt purchases that is not shared by trust accounts. I interpret the combined evidence as institution-specific asset substitution rather than synchronized repatriation. Because it comes from one official monthly transaction system and the longer-horizon tests have limited power, the design does not identify institutional motives or structural effects. Repatriation is better treated as an investor–asset–horizon classification than inferred from the sign of an aggregate flow.

Author abstract from the research manuscript. Typography and line breaks have been normalized; the linked source may show a different manuscript version.