Results 11 to 20 of about 13,088,660 (328)
Leveraged Carry Trade Portfolios [PDF]
SSRN Electronic Journal, 2008 Abstract Studying all possible pairs of 11 major currencies and 11 portfolios in 1976–2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the hypothesis of uncovered interest rate parity.
Zsolt Darvas
core +6 more sources
Carry Trade and Credit Crunch in the Spanish Economy
Papeles de Europa, 2014 This paper presents some factors which contribute and originate the current credit restrictions to companies and consumption during the crisis phase that have affected the Spanish economy is now experiencing.
Fernando Alonso, Pablo Blázquez
doaj +3 more sources
MNB Bulletin, 2010 This study summarises the basic facts related to the investment strategy known as carry trade. Carry trade is a leveraged investment transaction limited to the foreign exchange market. Foreign investors can only realise extra return if they also assume the risk of exchange rate fluctuations. Carry trade produces high returns for years, but in turbulent
Jordà, Òscar
core +4 more sources
Leaning-Against-the-Wind Intervention and the “Carry-Trade” View of the Cost of Reserves [PDF]
, 2021 For a sample of emerging economies, we estimate the quasi-fiscal costs of sterilized foreign exchange interventions as the P&L of an inverse carry trade.
Levy Yeyati, Eduardo Luis +2 more
core +1 more source
How raising interest rates can cause inflation and currency depreciation
Journal of Applied Economics, 2020 In this paper we derive a new model on exchange rate response to a lasting higher interest rate level. Contemporary models do not provide a convincing explanation for this relationship, but recent research suggests that models based on demand-pull ...
Jón Helgi Egilsson
doaj +1 more source
Economies, 2020 This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology.
Riza Demirer +3 more
doaj +1 more source
Carry trade as a speculative investment strategy in Serbia [PDF]
Industrija, 2012 This paper is analyses causes and the consequences of a speculative investment carry trade strategy in the exchange market in Serbia. The presence of such type of investor is related to high yields of risk free securities denominated in dinars, as well ...
Bungin Sanja +2 more
doaj +1 more source
Debt Overhang and the Macroeconomics of Carry Trade [PDF]
SSRN Electronic Journal, 2016 The depreciation of the Hungarian forint in 2009 left Hungarian borrowers with a skyrocketing value of foreign currency debt. The resulting losses worsened debt overhang in to debt-ridden firms and eroded bank capital. Therefore, although Hungarian banks had partially isolated their balance sheets from exchange rate risk by extending FX-denominated ...
Jakucionyte, E., van Wijnbergen, S.J.G.
openaire +3 more sources
The Term Structure of Currency Carry Trade Risk Premia
The American Economic Review, 2019 Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases. Across developed countries, the local currency term premia, which increase with the maturity of the bonds, offset the currency ...
Hanno Lustig +4 more
semanticscholar +1 more source
Carry Trade and Capital Market Returns in South Africa
Journal of Risk and Financial Management, 2020 This paper assesses the extent to which carry trade operations affect the performance of equity and bond markets in a target country, South Africa, by considering the US and the euro area as the funding countries.
Lumengo Bonga‐Bonga +1 more
semanticscholar +1 more source