| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15523 |
| 来源ID | Working Paper 15523 |
| Currency Carry Trade Regimes: Beyond the Fama Regression | |
| Richard Clarida; Josh Davis; Niels Pedersen | |
| 发表日期 | 2009-11-19 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We examine the factors that account for the returns on currency carry trade strategies. Using a dataset of daily returns spanning 18 years for 5 different long - short currency carry portfolios, we first document a robust empirical relationship between carry trade excess returns and exchange rate volatility, both realized and implied. Specifically, we extend and refine the results in Bhansali (2007) by documenting that currency carry trade strategies implemented with forward contracts have payoff and risk characteristics that are similar to those of currency option strategies that sell out of the money puts on high interest rates currencies. Both strategies have the feature of collecting premiums or carry to generate persistent excess returns that unwind sharply resulting in losses when actual and implied volatility rise. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w15523 |
| 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/573199 |
| 推荐引用方式 GB/T 7714 | Richard Clarida,Josh Davis,Niels Pedersen. Currency Carry Trade Regimes: Beyond the Fama Regression. 2009. |
| 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 | ||
| w15523.pdf（714KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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