| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13463 |
| DP13463 Good Carry, Bad Carry | |
| Geert Bekaert; George Panayotov | |
| 发表日期 | 2019-01-17 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We distinguish between ”good” and ”bad” carry trades constructed from G-10 currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades that have both substantially lower Sharpe ratios and highly negative return skewness. Surprisingly, good trades do not involve the most typical carry currencies like the Australian dollar and Japanese yen. The distinction between good and bad carry trades significantly alters our understanding of currency carry trade returns, and invalidates, for example, explanations invoking return skewness and crash risk. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Currency carry trade Predictability Currency risk factors |
| URL | https://cepr.org/publications/dp13463 |
| 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/542278 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,George Panayotov. DP13463 Good Carry, Bad Carry. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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