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Borsa Istanbul Review, 2023 By examining the connectedness of carry trade currency with stock, foreign exchange (forex), and commodity markets, the paper investigates the extent to which shocks in capital flows driven by interest-rate differentials affect financial markets ...
Nourhaine Nefzi, Abir Melki
doaj +4 more sources
Optimal carry trade portfolio choice under regime shifts [PDF]
Review of Quantitative Finance and Accounting, 2022 This paper studies optimal currency allocation of the carry trade in foreign exchange (FX). A number of empirical studies have documented a phenomenon referred to as the ‘forward premium puzzle’, which states that the carry trade is profitable on average.
Chen C, Lin C.
europepmc +2 more sources
THE YIELD OF THE CARRY TRADE STRATEGY
Финансы: теория и практика, 2018 The article analyzes the carry trade strategy in which, according to common definition, traders borrow a currency that has a low-interest rate and use the funds to buy a different currency that is paying a higher interest rate. The aim of this work is to
A. Yu. Mikhailov
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Risk-adjusted return managed carry trade
Journal of Banking and Finance, 2021 We propose a simple dynamic currency carry trade strategy. Implementation of this strategy requires only two indicators: the aggregate forward discount and historic, global foreign exchange volatility.
Philippe Dupuy
semanticscholar +3 more sources
Currency Regimes and the Carry Trade [PDF]
Journal of Financial and Quantitative Analysis, 2017 This study exploits a new long-run data set of daily bid and offered exchange rates in spot and forward markets from 1919 to the present to analyze carry returns in fixed and floating currency regimes. We first find that outsized carry returns occur exclusively in the floating regime, being zero in the fixed regime.
Accominotti, Olivier +3 more
openaire +6 more sources
Analysis of the Trade Balance in the 27 EU Countries [PDF]
Revista de Studii Financiare, 2023 In this paper, the aim is to carry out a study on the analysis of the balance of trade for all products in the Combined Nomenclature at the level of the 27 Member States of the European Union.
Lavinia Maria Nețoiu, Titu Nețoiu
doaj +1 more source
The Relationship between Carry Trade and Asset Markets in South Africa
Journal of Risk and Financial Management, 2021 This paper investigates the extent of volatility or risk spillovers between the currency carry trade and asset markets, namely the equity and bond markets, in South Africa to infer the extent of the connectivity between the two markets.
Lumengo Bonga‐Bonga, Tebogo Maake
semanticscholar +1 more source
The Review of Economic Studies, 2012 Large multi-product firms dominate international trade flows. This paper documents new facts about multi-product manufacturing exporters that are not easily reconciled with existing multi-product models. Using novel linked production and export data at the firm-product level, we find that the overwhelming majority of manufacturing firms export products
Bernard, A.B. +3 more
openaire +6 more sources
A Sharpe-ratio-based measure for currencies
European Journal of Government and Economics, 2015 The Sharpe Ratio offers an excellent summary of the excess return required per unit of risk invested. This work presents an adaptation of the ex-ante Sharpe Ratio for currencies where we consider a random walk approach for the currency behavior and ...
Javier Prado-Dominguez +1 more
doaj +3 more sources
From Carry Trades to Curvy Trades [PDF]
SSRN Electronic Journal, 2018 AbstractTraditional carry trade strategies are based on differences in short‐term interest rates, neglecting any other information embedded in yield curves. We derive return distributions of currency portfolios, where the signals to buy and sell currencies are based on summary measures of the yield curve.
Ferdinand Dreher +2 more
openaire +2 more sources