✦ LIBER ✦

Carry Trades and Currency Crashes

✍ Scribed by Markus K. Brunnermeier, Stefan Nagel, and Lasse H. Pedersen

Book ID: 123847581
Publisher: MIT Press
Year: 2008
Tongue: English
Weight: 736 KB
Volume: 23
Category: Article
ISSN: 0889-3365
DOI: 10.1086/593088

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Crash-neutral currency carry trades

✍ Jurek, Jakub W. 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 905 KB

Currency Carry Trades

✍ Berge, Travis ;Jordà, Òscar ;Taylor, Alan M. 📂 Article 📅 2011 🏛 The University of Chicago Press ⚖ 648 KB

Speculative capital and currency carry t

Speculative capital and currency carry trades

✍ Petri Jylhä; Matti Suominen 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 482 KB

Predictability of currency carry trades

Predictability of currency carry trades and asset pricing implications

✍ Bakshi, Gurdip; Panayotov, George 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 786 KB

Carry trades and the performance of curr

Carry trades and the performance of currency hedge funds

✍ Nucera, Federico; Valente, Giorgio 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 280 KB

The relationship between currency carry

The relationship between currency carry trades and U.S. stocks

✍ Yiuman Tse; Lin Zhao 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 533 KB

The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September 2010. Carry trade and stock returns are highly correlated with no Granger‐causality in either direction. An EGARCH model shows that significant volatility spillove