| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13571 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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