This data set contains Spot JPY$/$USD exchange rate as well as monthly US and Japanese interest rates for the period between $2000$ and $2023.$

For a starting amount of JPY $100$ million, compute your monthly carry trade results. Recall your strategy is to borrow in the currency with low interest rate and invest in the currency with the higher interest rate and compute your yield each month. These are the steps to compute below:

$-$Borrow JPY$100$ million at lower interest rate of Japan at monthly frequency

$-$Convert it into USD on spot

$-$Invest at US monthly interest rate

$-$Convert your USD payoff into JPY at the end of the month using the consecutive spot rate

$-$Repay your JPY loan with interest

$-$Compute your monthly percentage yield from your trading strategy

At the end, calculate your average monthly return if you did this for $23$ years. Graph your monthly yields over time, when did your strategy work? Why do you think it worked in those times?