{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/30991"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/30991","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"The Impact of the Carry Trade on Global Currency Markets","abstract":"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 (Developed/European) currencies in the presence of high risk are presented. The risk appetite process is additionally analysed by modelling it as a Markov-switching model, providing evidence of three inherent regimes, with properties roughly consistent with findings in the literature.","abstract_html":"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 (Developed/European) currencies in the presence of high risk are presented. The risk appetite process is additionally analysed by modelling it as a Markov-switching model, providing evidence of three inherent regimes, with properties roughly consistent with findings in the literature.","abstract_has_math":false,"creators":["Smit, Steven"],"institution":"Department of Statistical Sciences","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Pienaar, Etienne","Polakow, Daniel"],"committee_chairs":[],"committee_members":[],"year":2019,"date_issued":"2019","date_published":"2019","updated_at":"2026-07-22T22:23:24Z","subjects":["Mathematical Statistics"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/30991","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Pienaar, Etienne","Polakow, Daniel"]},{"key":"dc:creator","label":"Author","values":["Smit, Steven"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2020-02-11T09:15:09Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2020-02-11T09:15:09Z"]},{"key":"dc:date.issued","label":"Date","values":["2019"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Statistical Sciences"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MSc"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Mathematical Statistics"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/30991"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["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 (Developed/European) currencies in the presence of high risk are presented. The risk appetite process is additionally analysed by modelling it as a Markov-switching model, providing evidence of three inherent regimes, with properties roughly consistent with findings in the literature."]},{"key":"dc:title","label":"Title","values":["The Impact of the Carry Trade on Global Currency Markets"]}]}],"canonical_facts":{"dc:contributor.advisor":["Pienaar, Etienne","Polakow, Daniel"],"dc:creator":["Smit, Steven"],"dc:date.accessioned":["2020-02-11T09:15:09Z"],"dc:date.available":["2020-02-11T09:15:09Z"],"dc:date.issued":["2019"],"dc:description.abstract":["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 (Developed/European) currencies in the presence of high risk are presented. The risk appetite process is additionally analysed by modelling it as a Markov-switching model, providing evidence of three inherent regimes, with properties roughly consistent with findings in the literature."],"dc:identifier.uri":["http://hdl.handle.net/11427/30991"],"dc:publisher.department":["Department of Statistical Sciences"],"dc:subject":["Mathematical Statistics"],"dc:title":["The Impact of the Carry Trade on Global Currency Markets"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MSc"]},"updated_at":"2026-07-22T22:23:24Z"}