G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13571
DP13571 Currency Regimes and the Carry Trade
Olivier Accominotti; Jason Cen; David Chambers; Ian W Marsh
发表日期2019-03-06
出版年2019
语种英语
摘要This study exploits a new long-run data set of daily bid and offered exchange rates in spot and forward markets from 1919 to the present to analyze carry returns in fixed and floating currency regimes. We first find that outsized carry returns occur exclusively in the floating regime, being zero in the fixed regime. Second, we show that fixed-to-floating regime shifts are associated with negative returns to a carry strategy implemented only on floating currencies, robust to the inclusion of volatility risks. These shifts are typically characterized by global flight-to-safety events that represent bad times for carry traders.
主题Economic History ; Financial Economics ; International Macroeconomics and Finance
关键词Exchange rate regime Carry trade
URLhttps://cepr.org/publications/dp13571
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/542427
推荐引用方式
GB/T 7714
Olivier Accominotti,Jason Cen,David Chambers,et al. DP13571 Currency Regimes and the Carry Trade. 2019.
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