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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP8343 |
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 |
URL | https://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. |
条目包含的文件 | 条目无相关文件。 |
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