Leveraged carry trade portfolios
نویسندگان
چکیده
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...
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We present a scheme that leverage orthonormal or biorthogonal wavelets to a new system of biorthogonal wavelets. The leveraged biorthogonal wavelets will have some nice properties. If we start with orthonormal wavelets, the leveraged scaling functions and wavelets are compactly supported and are diierentiable. The derivatives of the leveraged wavelets are orthogonal to their translations; the d...
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...
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In this paper we build on the network-based financial accelerator model of Delli Gatti et al. (2010), modelling the firms’ financial structure following the ‘‘dynamic trade-off theory’’, instead of the ‘‘packing order theory’’. Moreover, we allow for multiperiodal debt structure and consider multiple bank-firm links based on a myopic preferred-partner choice. In case of default, we also conside...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2009
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2008.10.007