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Empirical evidence on the currency carry trade, 1900–2012
Journal of International Money and Finance, 2015Nikolay Doskov +2 more
semanticscholar +3 more sources
, 2013 It does not take much sophistication for a speculator to generate risk-adjusted positive returns with the carry trade. A number of obvious improvements (such as optimally designed portfolios, strategies that permit the speculator to remain in a cash position when expected returns are small or uncertain, and others not considered here) would only ...
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Unexploited currency carry trade profit opportunity
Journal of international financial markets, institutions, and money, 2019In this paper, we find a significant amount of profit opportunities unexploited by conventional currency carry trade strategies. To find the unexploited profit opportunities, we propose a new currency carry trade strategy to exploit differential ...
S. Suh
semanticscholar +1 more source
Journal of International Money and Finance, 2019
This paper builds a two-country dynamic stochastic general equilibrium macro model to understand three empirical facts about international currency returns.
Kimberly A. Berg, Nelson C. Mark
semanticscholar +1 more source
This paper builds a two-country dynamic stochastic general equilibrium macro model to understand three empirical facts about international currency returns.
Kimberly A. Berg, Nelson C. Mark
semanticscholar +1 more source
Diversification role of currency momentum for carry trade: Evidence from financial crises
Journal of Multinational Financial Management, 2019The main objective of this paper is to investigate the diversification role of currency momentum for carry trade crashes during the turbulent periods surrounding the 1997–1998 Asian financial crisis and the 2007–2008 global financial crisis.
Ehab Yamani
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Exchange Rates, Interest Parity, and the Carry Trade
Oxford Research Encyclopedia of Economics and Finance, 2019The uncovered interest parity (UIP) condition states that the interest rate differential between two currencies is the expected rate of change of their exchange rate. Empirically, however, in the 1976–2018 period, exchange rate changes were approximately
C. Burnside
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Macroeconomic Determinants of Carry Trade Activity [PDF]
Review of International Economics, 2010 AbstractCarry trades—popular strategies in the foreign exchange market—are long positions in high interest rate currencies financed through funds borrowed from low interest rate currencies. It has been shown for a number of bilateral exchange rates vis‐à‐vis the US dollar that shocks to interest rate differentials foster carry trade activity and lead ...
Alessio Anzuini, Fabio Fornari
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The performance of NDF carry trades
Journal of International Money and Finance, 2013This paper investigates the performance of carry trade strategies for currencies with non-deliverable forward (NDF) contracts. We find that carry trades for currencies with NDF contracts are associated with higher Sharpe ratios compared to carry trades for currencies with deliverable forward (DF) contracts.
John A. Doukas, Hao Zhang
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Currency momentum, carry trade, and market illiquidity
Journal of Banking & Finance, 2016This study empirically examines the effect of equity market illiquidity on the excess returns of currency momentum and carry trade strategies. Results show that equity market illiquidity explains the evolution of currency momentum strategy payoffs, but ...
Vitaly Orlov
semanticscholar +1 more source
2013
A carry trade is an interest differential business, which consists of borrowing money in a low-yielding currency for the sole reason of investing the proceeds in a higher-yielding one. It was, for instance, possible a few years ago to take on debt in Japanese yen at 1 per cent and receive 9 per cent by investing in New Zealand dollars.
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A carry trade is an interest differential business, which consists of borrowing money in a low-yielding currency for the sole reason of investing the proceeds in a higher-yielding one. It was, for instance, possible a few years ago to take on debt in Japanese yen at 1 per cent and receive 9 per cent by investing in New Zealand dollars.
openaire +2 more sources