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Currency hedging and goods trade

✍ Scribed by Shang-Jin Wei


Book ID
117098637
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
169 KB
Volume
43
Category
Article
ISSN
0014-2921

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Hedge funds are often related to the yen carry trade. This paper investigates the exposures of hedge funds that focus on currency assets to the returns of the yen/USD carry trade. The results suggest that the exposure of these hedge funds is positive only when carry trade returns are negative. Also,