| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14473 |
| 来源ID | Working Paper 14473 |
| Carry Trades and Currency Crashes | |
| Markus K. Brunnermeier; Stefan Nagel; Lasse H. Pedersen | |
| 发表日期 | 2008-11-13 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This paper documents that carry traders are subject to crash risk: i.e. exchange rate movements between high-interest-rate and low-interest-rate currencies are negatively skewed. We argue that this negative skewness is due to sudden unwinding of carry trades, which tend to occur in periods in which risk appetite and funding liquidity decrease. Funding liquidity measures predict exchange rate movements, and controlling for liquidity helps explain the uncovered interest-rate puzzle. Carry-trade losses reduce future crash risk, but increase the price of crash risk. We also document excess co-movement among currencies with similar interest rate. Our findings are consistent with a model in which carry traders are subject to funding liquidity constraints. |
| 主题 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w14473 |
| 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/572149 |
| 推荐引用方式 GB/T 7714 | Markus K. Brunnermeier,Stefan Nagel,Lasse H. Pedersen. Carry Trades and Currency Crashes. 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 | ||
| w14473.pdf（254KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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