Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 22 for “"Carry Trade"”.
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The Currency Carry Trade and Subjective Expectations
… subjective return expectations for the currency carry trade and uncover systematic forecast errors in both the exchange rate and interest rate components. The evidence on forecast error dynamics points towards extrapolative beliefs. In addition, we find a negative correlation between return …
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Essays on Carry Trade and Exchange Rate Forecasting
This thesis is the combination of three papers on carry trade strategies and exchange rate forecasting. The rst paper evaluates the performance of carry trade strategies with implied Taylor rule interest rate di erentials and compares their performance statistics to the naive carry trade strategy …
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Replicating the carry trade through an exchange traded fund
There is an overarching belief that the carry trade is a simple investment strategy based on the popular mantra of buying low and selling high. However, in reality, there are several factors that need to be taken into consideration when devising a carry trade strategy. These hardships are further …
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The Impact of the Carry Trade on Global Currency Markets
This work analyses the effect of the carry trade factor, statistically derived from a comprehensive basket of currencies, on currencies in various heuristically defined global risk appetite regimes. Findings of a heightened (lessened) impact of this factor for Emerging/Commodity …
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Essays on currency carry trade in Africa’s emerging and frontier markets
The currency carry trade, an investment strategy where investors borrow funds from low-interest currency countries and invest the funds in financial assets domiciled in high-interest currency countries, has become very popular in the academic literature over the last two decades. The strategy …
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Understanding Carry Trade Risks Using Bayesian Methods: A Comparison with Other Portfolio Risks from Currency, Commodity and Stock Markets
… is to understand the risks embedded in Carry Trades. For this, we use a broad range of stochastic volatility (SV) models, estimate them using Bayesian techniques via Markov chain Monte Carlo methods, and analyze various risk measures using these estimation results. Many researchers have …
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Economic Adjustment in Small Open Economies to External Shocks Arising from the Carry Trade, Trade Liberalisation and Remittance Flows
… financial flows such as workers' remittances and trade liberalisation are identified to be of particular importance. This thesis is composed of three independent essays that investigate the macroeconomic impacts on small open economies from these three shocks spanning two geographic locations. …
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Economic Adjustment in Small Open Economies to External Shocks Arising from the Carry Trade, Trade Liberalisation and Remittance Flows
… financial flows such as workers' remittances and trade liberalisation are identified to be of particular importance. This thesis is composed of three independent essays that investigate the macroeconomic impacts on small open economies from these three shocks spanning two geographic locations. …
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Trading foreign exchange carry portfolios
Foreign exchange carry trades involve buying high yielding currencies while selling low yielding currencies. Contrary to the implications of the uncovered interest parity condition, carry trades have generated consistent profits in the past decades. As foreign exchange has gained increased …
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Essays on international finance
… In the first study, we examine the properties of carry trade and momentum returns in the interwar period currency markets. We find that these active currency trading strategies earn an annualized average excess return of about 7%, consistent with estimates from modern samples. On the grounds that …
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Essays on Exchange Rates and Emerging Markets
… interest rates, country spreads, terms of trade and macro fundamentals in emerging markets. I estimate a structural VAR for 15 emerging economies. I find that country spreads explain 12% of output fluctuations, foreign interest rates an additional 7% and the terms of trade about 5%. I also …
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Testing Uncovered Interest Rate Parity in Asian Countries
… and the possibility of earning profits from the carry trade. Earlier research has found mixed results when testing Uncovered Interest Rate Parity (UIP) for emerging markets. This study finds that UIP deviations do not show a consistent pattern with respect to maturity. UIP holds better between …
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Essays on Risk Sharing and Pricing
… an international asset pricing setting with traded and non-traded out puts. It shows that output fluctuations in nontraded industries are a central risk factor driving asset prices in all countries. This is because nontraded industries entail a growth risk that is mostly non-diversifiable, …
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Three Essays in Applied Time Series Econometrics
… explain my results in the context of currency carry trade.<br /> Chapter 4 of my dissertation documents the presence of significant non-linearity in the deficit-interest rate relationship in the U.S. economy. Using an asymptotic threshold test as per Hansen (2000), I find strong evidence for …
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Essays on foreign currency risk management
… are significantly attributed to their dollar carry lending strategy, which is stimulated by market timing of corporate firms, short-maturity dollar borrowings, real estate market booms, and dollar interest rate tightening. We also find that banks’ foreign currency exposures significantly …
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Essays on finance, learning, and macroeconomics
… their widely perceived excess return, popular carry trade strategies yield low systemicrisk- adjusted returns. In contrast, hedging the carry with exchange rate options produces large returns that are not a compensation for systemic risk. We show that this result stems from the fact that the …
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The Dynamics of Currency Crashes and Fundamental Reversions
… factors and especially how they correlate with carry trade portfolios. Deviations from long term averages of real exchange rates are found to be predictors of crash risk. I also show that there is significant information in real exchange rate signals that does not seem to be priced. In addition …
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Essays in international economics
… the optimal policy sharply. The planner trades-off stabilizing output gaps with creating insurance via cross-country balance-sheet effects. Perhaps surprisingly, as insurance considerations become more important, home-currency positions become larger, and the excess-return volatility of …
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Essays in international finance
… to popular exchange rate strategies such as the carry trade and currency momentum. The market factor captures more than 70% of the cross-sectional returns of the proposed strategy and suggests a negative relation between equity returns and currency returns that are driven by commodity price …
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Essays on inequality, interest rates and macroeconomic policies
… as they allow foreign intermediaries to make carry-trade profits. Optimal interventions balance these costs with terms of trade benefits. We show that they lean against the wind of global capital flows to avoid excessive currency appreciation. Due to the convexity of the costs, interventions …
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