| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7360 |
| DP7360 Entrepreneurship: Origins and Returns | |
| Espen R. Moen; Knut Roed; Jens Fredrik Skogstrøm; Helge Berglann | |
| 发表日期 | 2009-07-05 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper suggests a factor model for carry trade strategies where the regression coefficients are allowed to depend on market volatility and liquidity. Empirical results on daily data from 1995 to 2008 show that a typical carry trade strategy has much higher exposure to the stock market and also more mean reversion in volatile periods - and that FX market volatility is a priced risk factor. The findings are robust to various extensions, including using more currencies and other proxies for volatility and liquidity (VIX, TED and a bid-ask spread). |
| 主题 | International Macroeconomics |
| 关键词 | Carry trade Factor model Smooth transition regression Time-varying betas |
| URL | https://cepr.org/publications/dp7360 |
| 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/536194 |
| 推荐引用方式 GB/T 7714 | Espen R. Moen,Knut Roed,Jens Fredrik Skogstrøm,et al. DP7360 Entrepreneurship: Origins and Returns. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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