| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15052 |
| DP15052 The Out-of-Sample Performance of Carry Trades | |
| Po-Hsuan Hsu; Mark Taylor; Zigan Wang | |
| 发表日期 | 2020-07-16 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We carry out a large-scale investigation of the out-of-sample profitability of in-sample profitable carry trade strategies, using foreign exchange data for 48 countries spanning a period from 1983 to 2015 and employing reality check and stepwise tests to correct for data-snooping bias (the factor of luck in model selection). Carry trade strategies chosen as profitable in one period are generally not profitable in an ensuing out-of-sample sample period, especially after correcting for data-snooping, and even after allowing for learning and stop-loss strategies. Any evidence of consistency in carry trade profitability that is found is concentrated in a relatively brief historical period, 2001-2005. We further investigate particular currency pairs that may drive the out-of-sample profitability during this period, and find their performance to be unstable in general. Our findings thus highlight the instability and the factor of luck in generating profits from carry trades. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Foreign exchange Carry trade Data-snooping bias |
| URL | https://cepr.org/publications/dp15052 |
| 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/544004 |
| 推荐引用方式 GB/T 7714 | Po-Hsuan Hsu,Mark Taylor,Zigan Wang. DP15052 The Out-of-Sample Performance of Carry Trades. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
