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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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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
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, 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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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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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
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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
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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
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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.
Travis Berge +2 more
openaire +2 more sources
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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The profitability of carry trades
Annals of Finance, 2008The uncovered interest parity (UIP) condition suggests that carry trades whereby investors borrow in the low interest rate currency and invest in the high interest rate currency should not result in excess profits over the long run. In this paper, we test the significance of the conventional empirical failure of UIP condition.
Olmo, Jose, Pilbeam, Keith
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