| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12489 |
| 来源ID | Working Paper 12489 |
| The Returns to Currency Speculation | |
| Craig Burnside; Martin Eichenbaum; Isaac Kleshchelski; Sergio Rebelo | |
| 发表日期 | 2006-08-31 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Currencies that are at a forward premium tend to depreciate. This 'forward-premium puzzle' represents an egregious deviation from uncovered interest parity. We document the properties of returns to currency speculation strategies that exploit this anomaly. We show that these strategies yield high Sharpe ratios which are not a compensation for risk. In practice bid-ask spreads are an increasing function of order size. In addition, there is price pressure, i.e. exchange rates are an increasing function of net order flow. Together these frictions greatly reduce the profitability of currency speculation strategies. In fact, the marginal Sharpe ratio associated with currency speculation can be zero even though the average Sharpe ratio is positive. |
| 主题 | Macroeconomics ; Consumption and Investment ; International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w12489 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570147 |
| 推荐引用方式 GB/T 7714 | Craig Burnside,Martin Eichenbaum,Isaac Kleshchelski,et al. The Returns to Currency Speculation. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12489.pdf（532KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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。
