منابع مشابه
The Carry Trade: Risks and Drawdowns
We find important differences in dollar-based and dollar-neutral G10 carry trades. Dollar-neutral trades have positive average returns, are highly negatively skewed, are correlated with risk factors, and exhibit considerable downside risk. In contrast, a diversified dollar-carry portfolio has a higher average excess return, a higher Sharpe ratio, minimal skewness, is unconditionally uncorrelate...
متن کاملImpact of macroeconomic surprises on carry trade activity
This paper investigates market perceptions of the risk of large exchange rate movements by using information gleaned from risk reversal contracts and macroeconomic news surprises. We focus on the height of the carry trade period in Japan (March 2004 through December 2006). Concerns about sharp yen appreciation were particularly evident during the period of heavy carry trade activity and are mor...
متن کاملCommodity Trade and the Carry Trade: A Tale of Two Countries∗
Persistent differences in interest rates across countries account for much of the profitability of currency carry trade strategies. The high-interest rate “investment” currencies tend to be “commodity currencies,” while low interest rate “funding” currencies tend to belong to countries that export finished goods and import most of their commodities. We develop a general equilibrium model of com...
متن کاملDoes life along the sea carry greater risk of thyroid cancer?
Aim of this study was to determine whether there are any differences between coastal and inland Dalmatia in incidence rates and clinical characteristics of thyroid cancer. Data on 651 persons who suffer from and have undergone surgery for thyroid cancer have been analysed. All patients lived in Dalmatia between 1997 and 2006. Data were collected via surveys, insight into medical histories and r...
متن کاملOnline Appendix for “The Term Structure of Currency Carry Trade Risk Premia” —Not For Publication—
• Section A gathers robustness checks on empirical results: subsection A.1 reports additional time-series predictability results; subsection A.2 reports additional results on portfolios of countries sorted by the deviation of their short-term interest rate from its 10-year rolling mean; subsection A.3 reports results on portfolios of countries sorted by the short-term interest rate level; subse...
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ژورنال
عنوان ژورنال: The Review of Economic Studies
سال: 2018
ISSN: 0034-6527,1467-937X
DOI: 10.1093/restud/rdy006