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Currency Carry Trades

✍ Scribed by Berge, Travis ;Jordà, Òscar ;Taylor, Alan M.


Book ID
111897516
Publisher
The University of Chicago Press
Year
2011
Weight
648 KB
Volume
7
Category
Article
ISSN
1932-8796

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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