FX:USDJPY   U.S. Dollar / Japanese Yen
Though id post as just one example, perhaps the most obvious, that shows how heavily the JPY is considered a risk-off asset and to show the clearly, since the SPX             is a risk-on asset, that the JPY is negatively correlated with the SPX             .

In times of market fear/ uncertainty, YEN is sought out, just like bonds and gold             , as a safe heaven asset. The theory behind this is that the JPY offers stability through the nation being one of the only developed nation with a net credit balance sheet .

Clearly, in the financial crisis, one with a hypothesis as the above, should see the SPX             fall and the YEN risk.. Indeed, the chart shows exacty that, almost 1:1 correlation.

Now, the JPY SPX             correlation DOES change, in times of extreme fear or extreme exuberance, the YEN will be proportionately more correlated with the SPX             and other risk assets.
In "Normal" or non heavily trending markets, the correlation is less obvious - since it is the extremes that cause investors to seek difference assets and change their strategy in masses.

In times of fear, investors move their liquidity to risk-off YEN, hence we see USDJPY             fall during the crisis. We also see SPX             fall in a correlated manner, this is because investors pull their liquidity OUT of SPX             and apply it in some proportion to YEN.

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