Add to ORKGWe offer a model of currency carry trades in which carry traders earn positive excess returns if they successfully coordinate on supplying excessive capital to a target economy. The interest-rate differential between their funding currency and the target currency is their coordination device. We solve for a unique equilibrium that exhibits the classic pattern of the carry-trade recipient currency appreciating for extended periods, punctuated by sharp falls
We show that the profitability of currency carry trades can be understood as the compensation for ex...
This work project studies the dynamics of carry trade within a sample of developed cur...
The carry trade in currency markets means that an investor buys a high-yielding currency and finance...
We offer a model of currency carry trades in which carry traders earn positive excess returns if the...
In this paper the author analyzes some aspects of carry trade in the global currency market in which...
This is the author accepted manuscript. The final version is available from Cambridge University Pre...
This dissertation is an empirical analysis of the determinants of currency carry trade. This study e...
This study exploits a new long-run data set of daily bid and offered exchange rates in spot and forw...
Author's Pre-printWe test the relevance of technical and fundamental variables in forming currency p...
This is the first study that employs option pricing model to measure the position-unwinding risk of ...
This paper takes the form of an event study surrounding the current financial crisis. It proposes a ...
We build two leveraged and non-leveraged strategies for carry trading. In the non-leveraged carry tr...
Carry trade is a well-established investment strategy in the world financial market. By profiting fr...
This paper documents that carry traders are subject to crash risk, i.e. ex-change rate movements bet...
We investigate the relation between global FX volatility and the excess returns to carry trade portf...
We show that the profitability of currency carry trades can be understood as the compensation for ex...
This work project studies the dynamics of carry trade within a sample of developed cur...
The carry trade in currency markets means that an investor buys a high-yielding currency and finance...
We offer a model of currency carry trades in which carry traders earn positive excess returns if the...
In this paper the author analyzes some aspects of carry trade in the global currency market in which...
This is the author accepted manuscript. The final version is available from Cambridge University Pre...
This dissertation is an empirical analysis of the determinants of currency carry trade. This study e...
This study exploits a new long-run data set of daily bid and offered exchange rates in spot and forw...
Author's Pre-printWe test the relevance of technical and fundamental variables in forming currency p...
This is the first study that employs option pricing model to measure the position-unwinding risk of ...
This paper takes the form of an event study surrounding the current financial crisis. It proposes a ...
We build two leveraged and non-leveraged strategies for carry trading. In the non-leveraged carry tr...
Carry trade is a well-established investment strategy in the world financial market. By profiting fr...
This paper documents that carry traders are subject to crash risk, i.e. ex-change rate movements bet...
We investigate the relation between global FX volatility and the excess returns to carry trade portf...
We show that the profitability of currency carry trades can be understood as the compensation for ex...
This work project studies the dynamics of carry trade within a sample of developed cur...
The carry trade in currency markets means that an investor buys a high-yielding currency and finance...