| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14054 |
| 来源ID | Working Paper 14054 |
| Do Peso Problems Explain the Returns to the Carry Trade? | |
| A. Craig Burnside; Martin S. Eichenbaum; Isaac Kleshchelski; Sergio Rebelo | |
| 发表日期 | 2008-06-06 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs which are on average large and uncorrelated with traditional risk factors. We argue that these payoffs reflect a peso problem. The underlying peso event features high values of the stochastic discount factor rather than very large negative payoffs. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w14054 |
| 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/571729 |
| 推荐引用方式 GB/T 7714 | A. Craig Burnside,Martin S. Eichenbaum,Isaac Kleshchelski,et al. Do Peso Problems Explain the Returns to the Carry Trade?. 2008. |
| 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 | ||
| w14054.pdf（490KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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