| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19371 |
| 来源ID | Working Paper 19371 |
| Commodity Trade and the Carry Trade: a Tale of Two Countries | |
| Robert Ready; Nikolai Roussanov; Colin Ward | |
| 发表日期 | 2013-08-29 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Persistent differences in interest rates across countries account for much of the profitability of currency carry trade strategies. "Commodity currencies'' tend to have high interest rates while low interest rate currencies belong to exporters of finished goods. This pattern arises in a complete-markets model with trade specialization and limited shipping capacity, whereby commodity-producing countries are insulated from global productivity shocks, which are absorbed by the final goods producers. Empirically, a commodity-based strategy explains a substantial portion of the carry-trade risk premia, and all of their pro-cyclical predictability with commodity prices and shipping costs, as predicted by the model. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w19371 |
| 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/577046 |
| 推荐引用方式 GB/T 7714 | Robert Ready,Nikolai Roussanov,Colin Ward. Commodity Trade and the Carry Trade: a Tale of Two Countries. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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