Results 231 to 240 of about 12,723,087 (291)
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The impact of jumps on carry trade returns
Journal of Financial Economics, 2019This paper investigates how jump risks are priced in currency markets. We find that currencies whose changes are more sensitive to negative market jumps provide significantly higher expected returns. The positive risk premium constitutes compensation for
Suzanne S. Lee, Minho Wang
semanticscholar +3 more sources
Journal of International Money and Finance, 2020
Currency carry trade disguised as goods trade can potentially channel external financial shocks to domestic economic environment, despite capital controls.
Shu Lin, Jinchuan Xiao, Haichun Ye
semanticscholar +3 more sources
Currency carry trade disguised as goods trade can potentially channel external financial shocks to domestic economic environment, despite capital controls.
Shu Lin, Jinchuan Xiao, Haichun Ye
semanticscholar +3 more sources
A machine learning approach to forecasting carry trade returns
Social Science Research Network, 2021Carry trade refers to a risky arbitrage in interest rate differentials between two currencies. Persistent excess carry trade returns pose a challenge to foreign exchange market efficiency. Using a data set of 10 currencies between 1990 and 2017, we find (
Xiao Wang +3 more
semanticscholar +1 more source
Systemic risk in carry-trade portfolios
Finance Research Letters, 2017Chih-Liang Liu, Hsin-Feng Yang
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NBER International Seminar on Macroeconomics, 2011 A wave of recent research has studied the predictability of foreign currency returns. A wide variety of forecasting structures have been proposed, including signals such as carry, value, momentum, and the forward curve. Some of these have been explored individually, and others have been used in combination.
Travis Berge +2 more
openaire +1 more source
The Rise and Fall of the Carry Trade: Links to Exchange Rate Predictability
Social Science Research Network, 2020We establish the out-of-sample predictability of monthly exchange rate changes via machine learning techniques based on 70 predictors capturing country characteristics, global variables, and their interactions.
Ilias Filippou +3 more
semanticscholar +1 more source
The impact of quantitative easing and carry trade on the real estate market in Hong Kong
International Review of Economics and Finance, 2020This paper examines how the quantitative easing (QE) policy conducted by Japan, EU and the US raised Hong Kong’s real estate prices through activities in carry trade and in Hong Kong’s real estate investment trust (H-REIT) market.
Tatsuyoshi Miyakoshi +3 more
semanticscholar +1 more source
Carry trade and forward premium puzzle from the perspective of a safe‐haven currency
, 2020Swiss franc exchange rates exhibit features (“safe-haven characteristics”) that suggest a close link between the forward premium puzzle and the profitability of the carry trade. However, recent evidence based on US dollar exchange rates suggests that the
David R. Haab, Thomas Nitschka
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Is bitcoin a channel of capital inflow? Evidence from carry trade activity
, 2020We empirically identify carry trade activities under the disguise of bitcoin transactions on USD and CNY bitcoin exchanges during the post global financial crisis period.
Jia-Chi Cheng, Yanke Dai
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