منابع مشابه
5 Carry Trades and Currency Crashes
This paper studies crash risk of currencies for funding‐constrained speculators in an attempt to shed new light on the major currency puzzles. Our starting point is the currency carry trade, which consists of selling low interest rate currencies—“funding currencies”—and investing in high interest rate currencies—“investment currencies.” While the uncovered interest rate parity (UIP) hypothesize...
متن کاملCrash-Neutral Currency Carry Trades
Currency carry trades exploiting violations of uncovered interest rate parity in G10 currencies deliver significant excess returns with annualized Sharpe equal to or greater than those of equity market factors (19902012). Using data on out-of-the-money foreign exchange options, I compute returns to crash-hedged portfolios and demonstrate that the high returns to carry trades are not due to peso...
متن کاملCarry Trades, Momentum Trading and the Forward Premium Anomaly
This paper examines the role of carry trade and momentum trading strategies and their implications for the magnitude of the forward premium anomaly. The formal analysis uses a logistic smooth transition regression, with transition variables related to the di¤erent currency trading strategies. The hypothesis of uncovered interest parity is found to hold in an upper regime where carry trades appe...
متن کاملCurrency Crashes in Emerging Markets: Empirical Indicators
We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine the composition of the debt as well as its level, and a variety of other macroeconomic factors, exte...
متن کاملFX Comovements: Disentangling the Role of Market Factors, Carry-Trades and Idiosyncratic Components
This paper models high and low frequency dynamic components of FX excess return correlations and examines their relationship with economic fundamentals. A factor currency pricing model is used to characterize the correlation structure of FX excess returns. I provide evidence on high levels of comovement in FX markets during the post-crisis (or recovery) period following the 2008 financial turmo...
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ژورنال
عنوان ژورنال: NBER Macroeconomics Annual
سال: 2008
ISSN: 0889-3365,1537-2642
DOI: 10.1086/593088