Investors are using the yen to borrow cheaply in yen, sell it and buy the dollar, to purchase riskier assets such as U.S. stocks. The U.S. is considered a top destination for risky trades right now, with the nation in recovery mode, corporate earnings generally beating on the bottom line, and calmer politics and more stable economic conditions.
So the carry trade, which the Bank of Japan is supporting heartily, is helping money find its way to U.S. stocks.
What's more, when macro themes are driving markets—fading risk of a meltdown in emerging markets, better Chinese data, Europe in recovery—correlations tend to increase.
There's another factor.
(Watch: Santelli: Dollar/yen overlaid with 10-year yields)
A weak yen props up the Nikkei, and U.S. stocks have been closely tracking Japanese stocks lately.
It is also a blessing for Japan's exporters, because it makes their televisions and cars and electronics more competitive globally. That move has been fueling the Nikkei, helping it surge 57 percent last year.
This is a year of transition. The major central banks have been flooding the market with liquidity and crushed volatility since the crisis. Now that we're moving away from unconventional policy, the volatility could pick up.
—By CNBC's Sara Eisen