| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5883 |
| DP5883 The Returns to Currency Speculation | |
| Martin Eichenbaum; Sérgio Rebelo; Craig Burnside; Isaac Kleshchelski | |
| 发表日期 | 2006-10-15 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Currencies that are at a forward premium tend to depreciate. This ?forward-premium puzzle? represents an egregious deviation from uncovered interest parity. We document the properties of returns to currency speculation strategies that exploit this anomaly. The first strategy, known as the carry trade, is widely used by practitioners. This strategy involves selling currencies forward that are at a forward premium and buying currencies forward that are at a forward discount. The second strategy relies on a particular regression to forecast the payoff to selling currencies forward. We show that these strategies yield high Sharpe ratios which are not a compensation for risk. However, these Sharpe ratios do not represent unexploited profit opportunities. In the presence of microstructure frictions, spot and forward exchange rates move against traders as they increase their positions. The resulting ?price pressure? drives a wedge between average and marginal Sharpe ratios. We argue that marginal Sharpe ratios are zero even though average Sharpe ratios are positive. |
| 主题 | International Macroeconomics |
| 关键词 | Uncovered interest parity Exchange rates Carry trade |
| URL | https://cepr.org/publications/dp5883 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534717 |
| 推荐引用方式 GB/T 7714 | Martin Eichenbaum,Sérgio Rebelo,Craig Burnside,et al. DP5883 The Returns to Currency Speculation. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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