Epicenter or bystander? Currency connectedness around the 2024 yen carry unwind

When a carry-trade funding currency appreciates, investors may unwind positions in several currencies at the same time, reducing diversification within the portfolio. The August 2024 yen carry unwind raised a practical question about which positions are most exposed when currencies move together. We estimate Diebold–Yilmaz and a multi-period Genizi R2 connectedness measure from the same time-varying forecast system for monthly dollar returns on EUR, GBP, JPY, and CHF from February 1975 to January 2026. Connectedness rises sharply around funding stress. Over the full sample, both measures identify GBP and JPY as net receivers—the currencies most affected by the rest of the portfolio. The August 2024 episode shows the same pattern, with both GBP and JPY exposed to the unwind even though the measures disagree on which is more affected. The visible jump in JPY therefore does not show that connectedness was concentrated in JPY. For investors, GBP and JPY should be considered together when the funding currency moves sharply.