Impact of macro-economic surprises on carry trade activity
نویسندگان
چکیده
منابع مشابه
Impact 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...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2013
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2012.10.022