Matt at TVHE asks what's going on with the NZ dollar relative to the Yen; the Yen appreciated substantially post earthquake.
I'm no macro money guy, but here's my first cut.
Japanese insurers had to sell off foreign investments and buy yen to pay out on claims. The subsequent rise in the yen reflected demand, and the subsequent fall in the yen was due to intervention by the other majors. The Bank of Japan couldn't cut interest rates to offset the effects of the surge in demand.
You might think this would be a good reason for the NZ Earthquake Commission to continue holding NZ rather than foreign assets, or at least a mitigating reason against my suggestion that they hold a heavily foreign-weighted portfolio.
Do recall though that Japan has for some time been close to zero bound on interest rates. Sure, monetary expansion remains possible by printing money. I'm definitely not a macro guy, and there's no way I'm wading into the fights about liquidity traps: not my comparative advantage and not worth my investment. But it's harder for the Bank of Japan to sterilize the currency effects of insurers' portfolio adjustments than it would be for RBNZ.