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, 2015 This thesis investigates various possible improvements of implementing the carry trade. For this purpose a number of benchmark carry trade strategies are formed to which the results of the modified strategies are compared. The modified carry strategies take the correlations and/or volatilities of the currencies into account, aiming for a more efficient
Mannerbjörk, Peter
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To appear in the Encyclopedia of Financial Globalizationcarry trade, uncovered interest rate parity, purchasing power parity ...
Oscar Jorda
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Systemic risk in carry-trade portfolios
Finance Research Letters, 2017Hsin-Feng Yang
exaly +2 more sources
Carry Trade and Currency Crash Risk
This paper examines the role of currency crash risk in explaining the persistent profitability of carry trades. Focusing on the US Dollar–Turkish Lira market, we construct three forward-looking measures of crash risk: risk reversals, crash probabilities from option-implied distributions, and jump risk from a jump-diffusion model.
Sweder van Wijnbergen, merve Kütük
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Empirical evidence on the currency carry trade, 1900–2012
Journal of International Money and Finance, 2015Laurens Swinkels
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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
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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
semanticscholar +1 more source