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 (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.

Grantor

Department of Statistical Sciences

Year dc:date.issued

2019

Author dc:creator

• Smit, Steven

Advisors dc:contributor.advisor

• Pienaar, Etienne
• Polakow, Daniel

• Mathematical Statistics

Handle dc:identifier.uri

http://hdl.handle.net/11427/30991

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/30991