G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8343
DP8343 Carry Trade and Momentum in Currency Markets
Martin Eichenbaum; Sérgio Rebelo; Craig Burnside
发表日期2011-04-01
出版年2011
语种英语
摘要We examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are being compensated for bearing risk. The second is that these strategies are vulnerable to rare disasters or peso problems. The third is that there is price pressure in currency markets.
主题International Macroeconomics
关键词Exchange rates Forward rates Uncovered interest parity
URLhttps://cepr.org/publications/dp8343
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/537170
推荐引用方式
GB/T 7714
Martin Eichenbaum,Sérgio Rebelo,Craig Burnside. DP8343 Carry Trade and Momentum in Currency Markets. 2011.
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