| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w17278
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| 来源ID | Working Paper 17278
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| Carry Trades and Risk |
| Craig Burnside
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| 发表日期 | 2011-08-04
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| 出版年 | 2011
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| 语种 | 英语
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| 摘要 | Carry trades, in which an investor borrows a low interest rate currency and lends a high interest rate currency, have been profitable historically. The risk exposure of carry traders might explain their high returns, but conventional models of risk do not work because traditional risk factors, used to price the stock market, do not price currency returns. Less traditional factors that are more successful in explaining currency returns, are, however, unsuccessful in explaining the returns to the stock market. More exotic models of "crisis risk" are another possibility, but I show that any time-variation in the exposure of the carry trade to market risk has been insufficient, in sample, to explain the average returns earned by carry traders. Instead, peso events remain a candidate explanation of the returns to the carry trade. |
| 主题 | International Economics
; International Finance
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| URL | https://www.nber.org/papers/w17278
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574953
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推荐引用方式
GB/T 7714 |
Craig Burnside. Carry Trades and Risk. 2011.
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文件名：
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w17278.pdf
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格式：
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Adobe PDF
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