Carry Trades and Currency Crashes

Brunnermeier, Markus; Pedersen, Lasse; Nagel, Stefan

Carry trade behavior by non-US banks. (2025). Suzuki, Katsushi ; Homma, Yasutake.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924004112.
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Breaks in term structures: Evidence from the oil futures markets. (2024). Miller, Curtis ; Liu, Zhenya ; Horvath, Lajos ; Tang, Weiqing.
In: International Journal of Finance & Economics.
RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2317-2341.
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Drivers of Post-pandemic Currency Movement: Recurring impacts of sovereign risks and oil prices. (2024). Yuki, Sato.
In: Discussion papers.
RePEc:eti:dpaper:24054.
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The forward premium anomaly and the currency carry trade hypothesis. (2024). Smyrnakis, Dimitris ; Tzavalis, Elias ; Elias, Nikolaos.
In: The Quarterly Review of Economics and Finance.
RePEc:eee:quaeco:v:95:y:2024:i:c:p:203-218.
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Hedging global currency risk: A dynamic machine learning approach. (2024). Pagnottoni, Paolo ; Spelta, Alessandro.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:649:y:2024:i:c:s0378437124004576.
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The out-of-sample performance of carry trades. (2024). Li, Yan ; Wang, Zigan ; Taylor, Mark P ; Hsu, Po-Hsuan.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000299.
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Geopolitical risk and currency returns. (2024). Zhang, Xueyong ; Liu, XI.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000177.
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Cross-country spillover effects of interest rate and credit constraint policies. (2024). Nissinen, Juuso.
In: Finance Research Letters.
RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324006470.
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Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.
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Political risks, excess and carry trade returns in global markets. (2024). Blenman, Lloyd P ; Kesse, Kwabena.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004222.
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Foreign Exchange Fixings and Returns around the Clock. (2024). Mueller, Philippe ; Whelan, Paul ; Krohn, Ingomar.
In: Journal of Finance.
RePEc:bla:jfinan:v:79:y:2024:i:1:p:541-578.
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Exchange rates and political uncertainty: the Brexit case. (2024). Moramarco, Graziano ; Manasse, Paolo ; Trigilia, Giulio.
In: Economica.
RePEc:bla:econom:v:91:y:2024:i:362:p:621-652.
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Commodity momentum decomposition. (2023). Sakemoto, Ryuta ; Iwanaga, Yasuhiro.
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:43:y:2023:i:2:p:198-216.
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Regime-dependent drivers of the EUR/CHF exchange rate. (2023). Stockl, Sebastian ; Hanke, Michael ; Kotlarz, Piotr.
In: Swiss Journal of Economics and Statistics.
RePEc:spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00107-w.
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Foreign exchange trading and management with the stochastic dual dynamic programming method. (2023). Sepulveda-Hurtado, Guillermo Alexander ; Reus, Lorenzo.
In: Financial Innovation.
RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00433-7.
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Examining the dependence structure between carry trade and equity market returns in BRICS countries. (2023). Manguzvane, Mathias Mandla ; Bonga-Bonga, Lumengo ; Makhanya, Kabelo Collen.
In: MPRA Paper.
RePEc:pra:mprapa:117461.
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Market Timing and Predictability in FX Markets. (2023). Tran, Ngoc-Khanh ; To, Thuy-Duong ; Maurer, Thomas A.
In: Review of Finance.
RePEc:oup:revfin:v:27:y:2023:i:1:p:223-246..
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Foreign exchange order flow as a risk factor. (2023). Zhang, Zhekai ; Cerrato, Mario ; Burnside, Craig.
In: Working Papers.
RePEc:gla:glaewp:2023-03.
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The Price of Macroeconomic Uncertainty: Evidence from Daily Options. (2023). Samadi, Mehrdad ; Londono, Juan M.
In: International Finance Discussion Papers.
RePEc:fip:fedgif:96660.
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Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730.
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Currency carry trades and global funding risk. (2023). Suominen, Matti ; Nissinen, Juuso ; Filipe, Sara Ferreira.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000158.
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Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000069.
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Carry and conditional value at risk trend: Capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts. (2023). Hertrich, Daniel.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001822.
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International capital flow pressures and global factors. (2023). Krogstrup, Signe ; Goldberg, Linda S.
In: Journal of International Economics.
RePEc:eee:inecon:v:146:y:2023:i:c:s0022199623000351.
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The open-economy ELB: Contractionary monetary easing and the trilemma. (2023). Sandri, Damiano ; Cavallino, Paolo.
In: Journal of International Economics.
RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001234.
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Factor investing and currency portfolio management. (2023). Cerrato, Mario ; Zhang, Zhekai ; Li, Danyang.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001424.
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Convenience yield risk. (2023). Wichmann, Robert ; Simen, Chardin Wese ; Symeonidis, Lazaros ; Prokopczuk, Marcel.
In: Energy Economics.
RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000348.
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On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J.
In: Economic Modelling.
RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668.
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Exchange rate spillover, carry trades, and the COVID-19 pandemic. (2023). Chen, Yu-Lun ; Yang, Jimmy J ; Mo, Wan-Shin.
In: Economic Modelling.
RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000342.
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Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen.
In: Economic Analysis and Policy.
RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559.
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Carry trades and US monetary policy. (2023). Falconio, Andrea.
In: Review of International Economics.
RePEc:bla:reviec:v:31:y:2023:i:1:p:237-248.
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Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price. (2023). Vasudevan, Kaushik ; Moskowitz, Tobias J ; Hazelkorn, Todd M.
In: Journal of Finance.
RePEc:bla:jfinan:v:78:y:2023:i:1:p:301-345.
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Crypto carry. (2023). Schrimpf, Andreas ; Todorov, Karamfil ; Schmeling, Maik.
In: BIS Working Papers.
RePEc:bis:biswps:1087.
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Does Globalization Promote Financial Integration in South Asian Economies? Unveiling the Role of Monetary and Fiscal Performance in Internationalization. (2022). Ali, Amjad ; Ehsan, Rehan ; Audi, Marc ; Hamadeh, Hani Fayad.
In: MPRA Paper.
RePEc:pra:mprapa:115304.
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The New Fama Puzzle. (2022). Heipertz, Jonas ; Ferrara, Laurent ; Chinn, Menzie ; Bussiere, Matthieu.
In: IMF Economic Review.
RePEc:pal:imfecr:v:70:y:2022:i:3:d:10.1057_s41308-022-00161-z.
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Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks. (2022). Sokol, Andrej ; Eguren-Martin, Fernando.
In: IMF Economic Review.
RePEc:pal:imfecr:v:70:y:2022:i:3:d:10.1057_s41308-022-00160-0.
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Exchange Rates and Sovereign Risk. (2022). Wagner, Christian ; Schmeling, Maik ; Sarno, Lucio ; della Corte, Pasquale.
In: Management Science.
RePEc:inm:ormnsc:v:68:y:2022:i:8:p:5591-5617.
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What Financial Conditions Affect Dynamic Equity Risk Factor Allocation?. (2022). Bausch, Matthias ; Isiksal, Aliya Zhakanova ; Backhaus, Achim .
In: Economies.
RePEc:gam:jecomi:v:10:y:2022:i:2:p:42-:d:742785.
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Tracking Exchange Rate Determinants amid the Pandemic. (2022). Yuki, Masujima .
In: Discussion papers.
RePEc:eti:dpaper:22001.
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Technical trading rule profitability in currencies: It’s all about momentum. (2022). Oreilly, Philip ; Obrien, John ; Kyziropoulos, Panagiotis E ; Hutchinson, Mark C ; Sharma, Tripti.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001659.
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Is oil risk important for commodity-related currency returns?. (2022). Lu, Man ; Su, Zhi ; Yin, Libo.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002257.
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Time-varying risk aversion and currency excess returns. (2022). Demirer, Riza ; Yuksel, Aydin.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001768.
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Uncovered return parity: Equity returns and currency returns. (2022). Dunbar, Geoffrey R ; Djeutem, Edouard .
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001097.
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The time-varying risk price of currency portfolios. (2022). Sakemoto, Ryuta ; Ibrahim, Boulis Maher ; Byrne, Joseph P.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000390.
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Salience theory and the cross-section of stock returns: International and further evidence. (2022). Zaremba, Adam ; Cakici, Nusret.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:146:y:2022:i:2:p:689-725.
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Equity tail risk and currency risk premiums. (2022). Londono, Juan M. ; Xiao, Xiao ; Fan, Zhenzhen.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:143:y:2022:i:1:p:484-503.
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The cash conversion cycle spread: International evidence. (2022). Tan, Yongxian ; Choy, Siu Kai ; Chen, Catherine Huirong.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:140:y:2022:i:c:s037842662200111x.
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Currency carry trade: The decline in performance after the 2008 Global Financial Crisis. (2022). Zhang, QI ; Qi, Zhen ; Paseka, Alexander ; Fan, Zhenzhen.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001670.
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Currency volatility and global technological innovation. (2022). HSU, Po-Hsuan ; Xu, QI ; Wang, Zigan ; Taylor, Mark P.
In: Journal of International Economics.
RePEc:eee:inecon:v:137:y:2022:i:c:s0022199622000393.
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Are carry, momentum and value still there in currencies?. (2022). Sharma, Tripti ; O'Reilly, Philip ; O'Brien, John ; Kyziropoulos, Panagiotis E ; Hutchinson, Mark C.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002058.
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Does previous carry trade position affect following investors decision-making and carry returns?. (2022). Li, BO ; Chen, SU ; Zhang, Ziyun.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:80:y:2022:i:c:s105752192200031x.
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Uncovered interest rate parity redux: Non-uniform effects. (2022). Cheung, Yin-Wong ; Wang, Wenhao.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:67:y:2022:i:c:p:133-151.
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The impact of liquidity risk in the Chinese banking system on the global commodity markets. (2022). Santos, Francisco ; Kim, Jihee ; Jo, Yonghwan.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:66:y:2022:i:c:p:23-50.
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Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model. (2022). Hambuckers, J ; Ulm, M.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:65:y:2022:i:c:p:125-148.
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Lending Relationships and Currency Hedging. (2022). Araujo, Gustavo ; Oliveira, Raquel F ; Schiozer, Rafael ; Leo, Sergio .
In: Working Papers Series.
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A time-varying network for cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang ; Guo, LI.
In: IRTG 1792 Discussion Papers.
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Jumps in foreign exchange spot rates and the informational efficiency of currency forwards. (2021). Sun, Qiao ; Mollica, Vito ; Ibikunle, Gbenga.
In: Journal of Futures Markets.
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Market Efficiency of Euro Exchange Rates and Trading Strategies. (2021). Bošnjak, Mile ; Davor, Vlaji ; Ivan, Novak.
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Navigating the factor zoo around the world: an institutional investor perspective. (2021). Bartram, SÃ¶hnke ; Pope, Peter F ; Lohre, Harald ; Ranganathan, Ananthalakshmi.
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Market news co-moments and currency returns. (2021). Baghdadabad, Mohammadreza Tavakoli ; Mohammad Reza Tavakoli Baghdadabad, ; Mallik, Girijasankar.
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Analýza vzájemných vztah? v nekryté úrokové parit? (p?íklad m?nového páru CZK/EUR). (2021). Vejmlek, Jan ; Mandel, Martin.
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Does the interest parity puzzle hold for Central and Eastern European economies?. (2021). Dąbrowski, Marek ; Janus, Jakub ; Dbrowski, Marek A.
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Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengecti, Suleyman.
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The ABC’s of the alternative risk premium: academic roots. (2021). Fabozzi, Frank J ; Gorman, Stephen A.
In: Journal of Asset Management.
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Carry Trade Returns and Segmented Risk Pricing. (2021). Schulze, Gordon.
In: Atlantic Economic Journal.
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Global Risk and Safe Haven Currency: Copula-DCC Approach. (2021). Zhuo, Juanjuan ; Kumamoto, Masao.
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What Factors Affect the RMB Carry Trade Return for Sustainability? An Empirical Analysis by Using an ARDL Model. (2021). Guo, Sen ; Zhang, Ziyun.
In: Sustainability.
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Scrambling for Dollars: International Liquidity, Banks and Exchange Rates. (2021). Bianchi, Javier ; Engel, Charles ; Bigio, Saki.
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Informed trading in government bond markets. (2021). Czech, Robert ; Lou, Dong ; Huang, Shiyang ; Wang, Tianyu.
In: LSE Research Online Documents on Economics.
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Informed trading in government bond markets. (2021). Czech, Robert ; Wang, Tianyu ; Lou, Dong ; Huang, Shiyang.
In: LSE Research Online Documents on Economics.
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Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information. (2021). Yamani, Ehab.
In: The Quarterly Review of Economics and Finance.
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Measuring liquidity risk effects on carry trades across currencies and regimes. (2021). Blenman, Lloyd P ; Abankwa, Samuel.
In: Journal of Multinational Financial Management.
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Currency returns and downside risk: Debt, volatility, and the gap from benchmark values. (2021). Stillwagon, Josh ; Goldberg, Michael D ; Cavusoglu, Nevin.
In: Journal of Macroeconomics.
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Is the renminbi a safe-haven currency? Evidence from conditional coskewness and cokurtosis. (2021). Zhou, Yinggang ; Chen, Hongyi ; Cheng, Xin.
In: Journal of International Money and Finance.
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Informed trading in government bond markets. (2021). Czech, Robert ; Lou, Dong ; Huang, Shiyang ; Wang, Tianyu.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:142:y:2021:i:3:p:1253-1274.
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On the predictability of the distribution of excess returns in currency markets. (2021). Cho, Dooyeon.
In: International Journal of Forecasting.
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The conditional volatility premium on currency portfolios. (2021). Sakemoto, Ryuta ; Byrne, Joseph P.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:74:y:2021:i:c:s104244312100130x.
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Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962.
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To hedge or not to hedge: Carry trade dynamics in the emerging economies. (2021). Ozyildirim, Suheyla ; Geyiki, Utku Bora.
In: Journal of International Financial Markets, Institutions and Money.
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The tail behavior of safe haven currencies: A cross-quantilogram analysis. (2021). Cho, Dooyeon ; Han, Heejoon.
In: Journal of International Financial Markets, Institutions and Money.
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Currency returns and FX dealer balance sheets. (2021). Reitz, Stefan ; Umlandt, Dennis.
In: Journal of International Economics.
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Do pricing efficiencies in Indian equity ETF market impact its performance?. (2021). Ahluwalia, Eshan ; Goel, Garima.
In: Global Finance Journal.
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Can technical trading beat the foreign exchange market in times of crisis?. (2021). Yamani, Ehab.
In: Global Finance Journal.
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Curve momentum in currency markets. (2021). Lei, Jian.
In: Finance Research Letters.
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Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta.
In: Journal of Empirical Finance.
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Region-wide connectedness of Asian equity and currency markets. (2021). Kinkyo, Takuji.
In: The North American Journal of Economics and Finance.
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Stock returns and carry trades. (2021). Qian, Zongxin ; Gang, Jianhua ; Chen, Zilin.
In: The North American Journal of Economics and Finance.
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The Pricing of Unexpected Volatility in the Currency Market. (2021). Xu, Yongdeng ; Lu, Wenna ; Copeland, Laurence.
In: Cardiff Economics Working Papers.
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Leveraged Funds and the Shadow Cost of Leverage Constraints. (2021). Qin, Zhongling ; Lu, Zhongjin.
In: Journal of Finance.
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The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi.
In: The Financial Review.
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Differential risk premiums and the UIP puzzle. (2021). Schreiber, Ben Z ; Piccotti, Louis R ; Biswas, Rita .
In: Financial Management.
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Foreign Exchange Fixings and Returns Around the Clock. (2021). Whelan, Paul ; Mueller, Philippe ; Krohn, Ingomar.
In: Staff Working Papers.
RePEc:bca:bocawp:21-48.
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A Time-Varying Network for Cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang Karl ; Guo, LI.
In: Papers.
RePEc:arx:papers:2108.11921.
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A Time-Varying Network for Cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang Karl ; Guo, LI.
In: Papers.
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Implicit currency carry trades of companies. (2020). Fuchs, Fabian U ; Entrop, Oliver.
In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe.
RePEc:zbw:upadbr:b4120.
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Yield curve risks in currency carry forwards. (2020). Lee, Jeong Wan ; Oh, Kyong Joo ; Baek, Seungho.
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:40:y:2020:i:4:p:651-670.
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Exchange rate predictability and dynamic Bayesian learning. (2020). Koop, Gary ; Korobilis, Dimitris ; Beckmann, Joscha ; Schussler, Rainer Alexander.
In: Journal of Applied Econometrics.
RePEc:wly:japmet:v:35:y:2020:i:4:p:410-421.
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Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis.
In: Working Paper Series.
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Currency Regimes, Volatility Risks, and Carry Trades: The Option Value of Government Currency Intervention in Emerging Markets. (2020). Guo, Wenliang.
In: Journal of Applied Finance & Banking.
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The Conditional Risk and Return Trade-Off on Currency Portfolios. (2020). Sakemoto, Ryuta ; Byrne, Joseph ; Joseph, Byrne.
In: MPRA Paper.
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Carry trade and capital market returns in South Africa. (2020). Bonga-Bonga, Lumengo ; Rangoanana, Motena Sefora.
In: MPRA Paper.
RePEc:pra:mprapa:98607.
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When the penny doesnt drop - Macroeconomic tail risk and currency crises. (2020). Gai, Prasanna ; Duley, Chanelle.
In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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Foreign Exchange Order Flow as a Risk Factor. (2020). cerrato, mario ; Burnside, Craig ; Zhang, Zhekai.
In: NBER Working Papers.
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Beyond Basis Basics: Leverage Demand and Deviations from the Law of One Price. (2020). Hazelkorn, Todd M ; Vasudevan, Kaushik ; Moskowitz, Tobias J.
In: NBER Working Papers.
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Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman.
In: Working Papers.
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Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds. (2020). Karehnke, Paul ; de Roon, Frans.
In: Management Science.
RePEc:inm:ormnsc:v:66:y:12:i:2020:p:5969-5989.
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Understanding the Information flows in FX Factors. (2020). cerrato, mario ; Zhang, Zhekai ; Li, Dangyang.
In: Working Papers.
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Forward Rate Bias in Developed and Developing Countries: More Risky Not Less Rational. (2020). Ozabaci, Deniz ; Kozlova, Olesia ; Goldberg, Michael D.
In: Econometrics.
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Turning alphas into betas: arbitrage and endogenous risk. (2020). Cho, Thummim.
In: LSE Research Online Documents on Economics.
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Seeking causality between liquidity risk and credit risk: TED-OIS spreads and CDS indexes. (2020). Gunay, Samet.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919306282.
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Disguised carry trade and the transmission of global liquidity shocks: Evidence from Chinaâ€™s goods trade data. (2020). Lin, Shu ; Ye, Haichun ; Xiao, Jinchuan.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560620301364.
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Business cycles and currency returns. (2020). Sarno, Lucio ; Riddiough, Steven J ; Colacito, Riccardo.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:137:y:2020:i:3:p:659-678.
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Turning alphas into betas: Arbitrage and endogenous risk. (2020). Cho, Thummim.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:137:y:2020:i:2:p:550-570.
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Global currency hedging with common risk factors. (2020). Riddiough, Steven J ; Opie, Wei.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:136:y:2020:i:3:p:780-805.
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Tales of tails: Jumps in currency markets. (2020). Wang, Minho ; Lee, Suzanne S.
In: Journal of Financial Markets.
RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830243x.
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Examining the relationship between policy uncertainty and market uncertainty across the G7. (2020). Smales, Lee.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301848.
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Collateral haircuts and bond yields in the European government bond markets. (2020). Nguyen, Minh.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301113.
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Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.
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The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model. (2020). Iseringhausen, Martin.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292.
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Predicting exchange rate returns. (2020). Narayan, Paresh Kumar ; Liu, Guangqiang ; Bach, Dinh Hoang ; Sharma, Susan Sunila.
In: Emerging Markets Review.
RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119303504.
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Volatility interdependence on foreign exchange markets: The contribution of cross-rates. (2020). Kinkyo, Takuji.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301807.
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Liquidity shocks: A new solution to the forward premium puzzle. (2020). Kumar, Vikram.
In: Economic Modelling.
RePEc:eee:ecmode:v:91:y:2020:i:c:p:445-454.
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The Economics of Currency Risk. (2020). Hassan, Tarek ; Zhang, Tony.
In: CEPR Discussion Papers.
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The Out-of-Sample Performance of Carry Trades. (2020). Taylor, Mark ; HSU, Po-Hsuan ; Wang, Zigan.
In: CEPR Discussion Papers.
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The Non-U.S. Bank Demand for U.S. Dollar Assets. (2020). Adrian, Tobias ; Xie, Peichu.
In: CEPR Discussion Papers.
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From carry trades to curvy trades. (2020). Kostka, Thomas ; GrÃƒÂ¤b, Johannes ; Grab, Johannes ; Dreher, Ferdinand.
In: The World Economy.
RePEc:bla:worlde:v:43:y:2020:i:3:p:758-780.
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Safehavenness of the Chinese renminbi. (2020). Fong, Tom ; Tong, Alfred Yun.
In: International Finance.
RePEc:bla:intfin:v:23:y:2020:i:2:p:215-233.
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Modelling Small Open Developing Economies in a Financialized World: A Stock-Flow Consistent Prototype Growth Model. (2020). Yilmaz, Sakir ; Godin, Antoine.
In: Working Paper.
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Determinants of real exchange rate movements in 15 emerging market economies. (2019). Goda, Thomas ; Priewe, Jan.
In: IPE Working Papers.
RePEc:zbw:ipewps:1282019.
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Asymmetric arbitrage trading on offshore and onshore renminbi markets. (2019). Eraslan, Sercan.
In: Empirical Economics.
RePEc:spr:empeco:v:57:y:2019:i:5:d:10.1007_s00181-018-1516-6.
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A Liquidity-Based Resolution of the Uncovered Interest Parity Puzzle. (2019). Mo, Kuk ; Lee, Seungduck.
In: Working Papers.
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The relationship between carry trade and asset markets in South Africa. (2019). Bonga-Bonga, Lumengo ; Maake, Tebogo.
In: MPRA Paper.
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Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes. (2019). Calomiris, Charles ; Mamaysky, Harry.
In: NBER Working Papers.
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Pricing Risks Across Currency Denominations. (2019). Maurer, Thomas ; Tran, Ngoc-Khanh ; To, Thuy-Duong .
In: Management Science.
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Can we predict currency momentum crashes?. (2019). Zhang, Zhekai ; Cerrato, Mario.
In: Working Papers.
RePEc:gla:glaewp:2019_12.
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Can we predict currency momentum crashes?. (2019). Zhang, Zhekai ; Cerrato, Mario.
In: Working Papers.
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Exploring Carry Trade and Exchange Rate toward Sustainable Financial Resources: An application of the Artificial Intelligence UKF Method. (2019). Tseng, Ming-Lang ; Wu, Kuo-Jui ; Zhang, Qian.
In: Sustainability.
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US Equity Tail Risk and Currency Risk Premia. (2019). Xiao, Xiao ; Londono, Juan M ; Fan, Zhenzhen.
In: International Finance Discussion Papers.
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Time-Variant Safe-Haven Currency Status and Determinants. (2019). Yuki, MASUJIMA .
In: Discussion papers.
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Predicting foreign investorsâ€™ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach. (2019). Mantzura, Ariel ; Schreiber, Ben Z.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:59:y:2019:i:c:p:438-457.
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Currency strategies based on momentum, carry trade and skewness. (2019). Jiang, Xue ; Yin, Libo ; Han, Liyan.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:517:y:2019:i:c:p:121-131.
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Diversification role of currency momentum for carry trade: Evidence from financial crises. (2019). Yamani, Ehab.
In: Journal of Multinational Financial Management.
RePEc:eee:mulfin:v:49:y:2019:i:c:p:1-19.
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The economic drivers of commodity market volatility. (2019). Symeonidis, Lazaros ; Stancu, Andrei ; Prokopczuk, Marcel.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:98:y:2019:i:c:4.
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Effectiveness of developed and emerging market FX options in active currency risk management. (2019). Fabozzi, Frank ; Vohra, Suprita.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:96:y:2019:i:c:p:130-146.
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The determinants of the model-free positive and negative volatilities. (2019). Tunaru, Radu ; Morelli, David ; Bevilacqua, Mattia.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:92:y:2019:i:c:p:1-24.
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Private information in currency markets. (2019). Nishiotis, George ; Milidonis, Andreas ; Michaelides, Alexander.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:131:y:2019:i:3:p:643-665.
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The impact of jumps on carry trade returns. (2019). Wang, Minho ; Lee, Suzanne S.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:131:y:2019:i:2:p:433-455.
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Who benefits in a crisis? Evidence from hedge fund stock and option holdings. (2019). Shi, Zhen ; Martin, Spencer J ; Aragon, George O.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:131:y:2019:i:2:p:345-361.
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Carry trades and endogenous regime switches in exchange rate volatility. (2019). Cho, Dooyeon ; Lee, Na Kyeong ; Han, Heejoon.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:58:y:2019:i:c:p:255-268.
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Can structural changes in the persistence of the forward premium explain the forward premium anomaly?. (2019). Cho, Dooyeon ; Chun, Sungju.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:58:y:2019:i:c:p:225-235.
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Currency jumps, Euribor-OIS spreads and the volatility skew: A study on the dollar-euro crash risk of 2007â€“2015. (2019). Wong, Alfred.
In: Finance Research Letters.
RePEc:eee:finlet:v:29:y:2019:i:c:p:7-16.
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Market downturns, zero investment strategies and systematic liquidity risk. (2019). Virk, Nader Shahzad ; Butt, Hilal Anwar.
In: Finance Research Letters.
RePEc:eee:finlet:v:28:y:2019:i:c:p:246-253.
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Currency carry trades and the conditional factor model. (2019). Sakemoto, Ryuta.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:63:y:2019:i:c:p:198-208.
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How does FX liquidity affect the relationship between foreign ownership and stock liquidity?. (2019). Ryu, Doojin ; Lee, Jieun.
In: Emerging Markets Review.
RePEc:eee:ememar:v:39:y:2019:i:c:p:101-119.
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Can skewness predict currency excess returns?. (2019). Yin, Libo ; Han, Liyan ; Jiang, Xue.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:48:y:2019:i:c:p:628-641.
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Determinants of real exchange rate movements in 15 emerging market economies. (2019). Goda, Thomas ; Priewe, Jan.
In: Documentos de Trabajo CIEF.
RePEc:col:000122:017468.
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Exchange Rate Risk and Business Cycles. (2019). Lloyd, Simon ; Marin, E A.
In: Cambridge Working Papers in Economics.
RePEc:cam:camdae:1996.
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Attention to the tail(s): global financial conditions and exchange rate risks. (2019). Sokol, Andrej ; Eguren Martin, Fernando ; Eguren-Martin, Fernando.
In: Bank of England working papers.
RePEc:boe:boeewp:0822.
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Higher Moments and Exchange Rate Behavior. (2019). Sharma, Susan ; Khademalomoom, Siroos ; Narayan, Paresh Kumar.
In: The Financial Review.
RePEc:bla:finrev:v:54:y:2019:i:1:p:201-229.
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Optimal FX Hedge Tenor with Liquidity Risk. (2019). Loeper, Gregoire ; Aarons, Mark ; Zhang, Rongju.
In: Papers.
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Foreign currency bank funding and global factors. (2018). Tille, CÃƒÂ©dric ; Krogstrup, Signe.
In: Kiel Working Papers.
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Global liquidity and exchange market pressure in emerging market economies. (2018). Pramor, Marcus ; Hossfeld, Oliver.
In: Discussion Papers.
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From funding liquidity to market liquidity: Evidence from the index options market. (2018). Zhou, Zhiping ; ZHANG, CHENG ; Liu, Chunbo .
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:38:y:2018:i:10:p:1189-1205.
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Asymmetric impact of monetary surprises on exchange rate. (2018). Ding, Liang ; Yang, Qianyi.
In: Applied Economics.
RePEc:taf:applec:v:50:y:2018:i:7:p:789-803.
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Fear connectedness among asset classes. (2018). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian.
In: Applied Economics.
RePEc:taf:applec:v:50:y:2018:i:39:p:4234-4249.
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151 Trading Strategies. (2018). Serur, Juan Andres ; Kakushadze, Zura.
In: Springer Books.
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The Pricing of Liquidity Risk in Buyout Funds – A Public Market Perspective. (2018). Zimmermann, Heinz ; Huss, Matthias.
In: Schmalenbach Business Review.
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Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region. (2018). Deisting, Florent ; Pandey, Piyush ; Sehgal, Sanjay.
In: Journal of Quantitative Economics.
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Corporate hedging: an answer to the “how” question. (2018). Ekblom, Jonas ; Blomvall, Jorgen.
In: Annals of Operations Research.
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Financialised internationalisation and structural hierarchies: a mixed-method study of exchange rate determination in emerging economies. (2018). Kaltenbrunner, Annina.
In: Cambridge Journal of Economics.
RePEc:oup:cambje:v:42:y:2018:i:5:p:1315-1341..
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The New Fama Puzzle. (2018). Heipertz, Jonas ; Ferrara, Laurent ; Chinn, Menzie ; Bussiere, Matthieu.
In: NBER Working Papers.
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Foreign Currency Bank Funding and Global Factors. (2018). Tille, CÃ©dric ; Krogstrup, Signe.
In: IMF Working Papers.
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Foreign exchange order fl ow as a risk factor. (2018). cerrato, mario ; Zhang, Zhekai ; Burnside, Craig .
In: Working Papers.
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Foreign Currency Bank Funding and Global Factors. (2018). Tille, CÃƒÂ©dric ; Krogstrup, Signe.
In: IHEID Working Papers.
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Building of monetary and currency markets models. (2018). Trunin, Pavel ; Bozhechkova, Alexandra ; Alexandra, Bozhechkova ; Alexander, Chentsov ; Diana, Petrova ; Elena, Sinelnikova-Muryleva ; Pavel, Trunin.
In: Research Paper Series.
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The pricing of FX forward contracts: micro evidence from banksâ€™ dollar hedging. (2018). BrÃƒÂ¤uning, Falk ; Abbassi, Puriya ; Brauning, Falk.
In: Working Papers.
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Conditioning carry trades: Less risk, more return. (2018). Mulder, Arjen ; Tims, Ben .
In: Journal of International Money and Finance.
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Assessing the predictive ability of sovereign default risk on exchange rate returns. (2018). Ravazzolo, Francesco ; Foroni, Claudia ; Sadaba, Barbara .
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:81:y:2018:i:c:p:242-264.
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Carry. (2018). , Ralph ; Vrugt, Evert B ; Pedersen, Lasse Heje ; Moskowitz, Tobias J.
In: Journal of Financial Economics.
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Safe-haven and hedge currencies for the US, UK, and Euro area stock markets: A copula-based approach. (2018). Tachibana, Minoru.
In: Global Finance Journal.
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Financial stress and its non-linear impact on CEE exchange rates. (2018). Adam, Toma ; Matj, Jakub ; Benecka, Soa.
In: Journal of Financial Stability.
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Do precious and industrial metals act as hedges and safe havens for currency portfolios?. (2018). Sakemoto, Ryuta.
In: Finance Research Letters.
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Global macro risks in currency excess returns. (2018). Berg, Kimberly ; Mark, Nelson C.
In: Journal of Empirical Finance.
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On the persistence of the forward premium in the joint presence of nonlinearity, asymmetry, and structural changes. (2018). Cho, Dooyeon.
In: Economic Modelling.
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From carry trades to curvy trades. (2018). Kostka, Thomas ; GrÃƒÂ¤b, Johannes ; Grab, Johannes ; Dreher, Ferdinand.
In: Working Paper Series.
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Carry trades and economic policy uncertainty: measuring the political dimension of the forward rate bias in emerging countries. (2018). Araki, Michael E ; Antonio, ; Klotzle, Marcelo Cabus.
In: Economics Bulletin.
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An Intermediation-Based Model of Exchange Rates. (2018). Schrimpf, Andreas ; Malamud, Semyon.
In: CEPR Discussion Papers.
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Foreign Currency Bank Funding and Global Factors. (2018). Tille, CÃƒÂ©dric ; Krogstrup, Signe.
In: CEPR Discussion Papers.
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An intermediation-based model of exchange rates. (2018). Schrimpf, Andreas ; Malamud, Semyon.
In: BIS Working Papers.
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Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M.
In: BIS Papers.
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ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena.
In: Economic Annals.
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ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena.
In: Economic Annals.
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Built-In Problems in the New European Regulations for the Bulgarian Capital Market. (2018). Naydenova, Krassimira.
In: Economic Studies journal.
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The European sovereign debt crisis: What have we learned?. (2017). Stefanova, Denitsa ; Lehnert, Thorsten ; KrÃƒÂ¤ussl, Roman ; Kraussl, Roman.
In: CFS Working Paper Series.
RePEc:zbw:cfswop:567.
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Asymmetric arbitrage trading on offshore and onshore renminbi markets. (2017). Eraslan, Sercan.
In: Discussion Papers.
RePEc:zbw:bubdps:132017.
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Asset prices and macroeconomic outcomes : a survey. (2017). Kose, Ayhan ; Claessens, Stijn.
In: Policy Research Working Paper Series.
RePEc:wbk:wbrwps:8259.
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Nominal Exchange Rate Stationarity and Long-Term Bond Returns. (2017). Verdelhan, Adrien ; Lustig, Hanno ; Stathopoulos, Andreas.
In: 2017 Meeting Papers.
RePEc:red:sed017:1633.
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The Time-Varying Risk Price of Currency Carry Trades. (2017). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher.
In: MPRA Paper.
RePEc:pra:mprapa:80788.
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The Forward-Discount Puzzle in Central and Eastern Europe. (2017). HÃƒÂ¶lscher, Jens ; Holscher, Jens ; Hayward, Rob.
In: Comparative Economic Studies.
RePEc:pal:compes:v:59:y:2017:i:4:d:10.1057_s41294-017-0033-5.
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Toxic Arbitrage. (2017). Foucault, Thierry ; Tham, Wing Wah ; Kozhan, Roman.
In: Review of Financial Studies.
RePEc:oup:rfinst:v:30:y:2017:i:4:p:1053-1094..
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Global Macro Risks in Currency Excess Returns. (2017). Mark, Nelson ; Berg, Kimberly.
In: NBER Working Papers.
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Exchange Rate Disconnect in General Equilibrium. (2017). Itskhoki, Oleg ; Mukhin, Dmitry .
In: NBER Working Papers.
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Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn.
In: KoÃ§ University-TUSIAD Economic Research Forum Working Papers.
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Fear connectedness among asset classes. (2017). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felixa, Julian.
In: IREA Working Papers.
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Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina.
In: Econometrics.
RePEc:gam:jecnmx:v:5:y:2017:i:3:p:30-:d:104032.
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Safe Haven Currency and Market Uncertainty: Yen, renminbi, dollar, and alternatives. (2017). Yuki, MASUJIMA .
In: Discussion papers.
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Exchange rates and monetary policy uncertainty. (2017). Tahbaz-Salehi, Alireza ; Vedolin, Andrea ; Mueller, Philippe.
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:77256.
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Asset prices and macroeconomic outcomes: A survey. (2017). Kose, Ayhan ; Claessens, Stijn.
In: CAMA Working Papers.
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The asymmetry in carry trade and the U.S. dollar. (2017). Wu, Chih-Chiang.
In: The Quarterly Review of Economics and Finance.
RePEc:eee:quaeco:v:65:y:2017:i:c:p:304-313.
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Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies. (2017). Chen, Shu-Hsiu.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:78:y:2017:i:c:p:1-20.
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Systematic consumption risk in currency returns. (2017). Hoffmann, Mathias ; Studer-Suter, Rahel .
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:74:y:2017:i:c:p:187-208.
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Violations of uncovered interest rate parity and international exchange rate dependences. (2017). Ames, Matthew ; Peters, Gareth W ; Bagnarosa, Guillaume.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:73:y:2017:i:pa:p:162-187.
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Systemic risk in carry-trade portfolios. (2017). Liu, Chih-Liang ; Yang, Hsin-Feng .
In: Finance Research Letters.
RePEc:eee:finlet:v:20:y:2017:i:c:p:40-46.
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Currency carry trade and the cost of international reserves in Mexico. (2017). Rozo, Carlos A ; Maldonado, Norma.
In: Revista CEPAL.
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Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn.
In: CEPR Discussion Papers.
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Bond Convenience Yields and Exchange Rate Dynamics. (2017). Valchev, Rosen.
In: Boston College Working Papers in Economics.
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Uncovered interest parity in Central and Eastern Europe: Expectations and structural breaks. (2017). Staehr, Karsten ; Filipozzi, Fabio ; Cuestas, Juan.
In: Review of International Economics.
RePEc:bla:reviec:v:25:y:2017:i:4:p:695-710.
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Carry Trade Incentives and Turbulence in the Foreign Exchange Market in Colombia. (2017). Gamboa-Estrada, Fredy.
In: Manchester School.
RePEc:bla:manchs:v:85:y:2017:i::p:57-78.
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LIQUIDITY RISK AND TIME-VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNS. (2017). Jung, Kuk Mo ; Mo, Kuk.
In: Economic Inquiry.
RePEc:bla:ecinqu:v:55:y:2017:i:2:p:898-919.
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The US Dollars Continuing Hegemony as an International Currency: A Double-matrix Analysis. (2017). Lysandrou, Photis ; Kaltenbrunner, Annina.
In: Development and Change.
RePEc:bla:devchg:v:48:y:2017:i:4:p:663-691.
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Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn.
In: BIS Working Papers.
RePEc:bis:biswps:676.
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The financial stability dark side of monetary policy. (2017). Venditti, Fabrizio ; Conti, Antonio ; Alessandri, Piergiorgio.
In: Temi di discussione (Economic working papers).
RePEc:bdi:wptemi:td_1121_17.
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Co-movement of Exchange Rates with Interest Rate Differential, Risk Premium and FED Policy in â€œFragile Economiesâ€. (2016). YÄ±lmaz, Erdal ; Ozmen, Utku.
In: Working Papers.
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Common Information in Carry Trade Risk Factors. (2016). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher.
In: MPRA Paper.
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The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity. (2016). Moore, Michael ; Li, Youwei ; Shehadeh, Ali .
In: MPRA Paper.
RePEc:pra:mprapa:71709.
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US Dollar Carry Trades in the Era of â€œCheap Moneyâ€. (2016). Moore, Michael ; Li, Youwei ; Shehadeh, Ali ; Erds, Peter .
In: MPRA Paper.
RePEc:pra:mprapa:70770.
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Risk and Return Spillovers among the G10 Currencies. (2016). Greenwood-Nimmo, Matthew ; Rafferty, Barry ; Nguyen, Viet Hoang.
In: Melbourne Institute Working Paper Series.
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Dynamic interactions between government bonds and exchange rate expectations in currency options. (2016). Tan, Edward ; Hui, Cho-Hoi.
In: Working Papers.
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Exchange Rate Dynamics and US Dollar-denominated Sovereign Bond Prices in Emerging Markets. (2016). Chau, Po-Hon ; Lo, Chi-Fai ; Hui, Cho-Hoi.
In: Working Papers.
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Can risk explain the profitability of technical trading in currency markets?. (2016). Neely, Christopher ; Rapach, David E. ; Ivanova, Yuliya ; Weller, Paul A..
In: Working Papers.
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US Dollar Carry Trades in the Era of Cheap Money. (2016). Moore, Michael ; Li, Youwei ; Erdos, Peter ; Shehadeh, Ali .
In: Czech Journal of Economics and Finance (Finance a uver).
RePEc:fau:fauart:v:66:y:2016:i:5:p:374-404.
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The price of freedom: Idiosyncratic currency devaluations. (2016). Stocker, Marshall L.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:38:y:2016:i:c:p:312-325.
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The uncovered interest rate parity anomaly and trading activity by non-dealer financial firms. (2016). Boschen, John F ; Smith, Kimberly J.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:45:y:2016:i:c:p:333-342.
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Do carry trade returns show signs of long memory?. (2016). Hoffmann, Andreas ; Auer, Benjamin R.
In: The Quarterly Review of Economics and Finance.
RePEc:eee:quaeco:v:61:y:2016:i:c:p:201-208.
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Cross-asset return predictability: Carry trades, stocks and commodities. (2016). Lu, Helen ; Jacobsen, Ben.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:64:y:2016:i:c:p:62-87.
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On the effectiveness of exchange rate interventions in emerging markets. (2016). Nagengast, Arne ; Levy Yeyati, Eduardo ; Daude, Christian.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:64:y:2016:i:c:p:239-261.
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What drives international portfolio flows?. (2016). Ulloa, Barbara ; Tsiakas, Ilias ; Sarno, Lucio.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:60:y:2016:i:c:p:53-72.
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Momentum crashes. (2016). Daniel, Kent ; Moskowitz, Tobias J.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:122:y:2016:i:2:p:221-247.
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Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?. (2016). Pelizzon, Loriana ; Uno, Jun ; Tomio, Davide ; Subrahmanyam, Marti G.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:122:y:2016:i:1:p:86-115.
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Currency momentum, carry trade, and market illiquidity. (2016). Orlov, Vitaly.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:67:y:2016:i:c:p:1-11.
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Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel.
In: International Journal of Forecasting.
RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.
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Dodging the steamroller: Fundamentals versus the carry trade. (2016). Copeland, Laurence ; Lu, Wenna .
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:42:y:2016:i:c:p:115-131.
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Risk and return spillovers among the G10 currencies. (2016). Greenwood-Nimmo, Matthew ; Nguyen, Viet Hoang ; Rafferty, Barry .
In: Journal of Financial Markets.
RePEc:eee:finmar:v:31:y:2016:i:c:p:43-62.
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Risk-on/Risk-off: Financial market response to investor fear. (2016). Smales, Lee.
In: Finance Research Letters.
RePEc:eee:finlet:v:17:y:2016:i:c:p:125-134.
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Modelling futures price volatility in energy markets: Is there a role for financial speculation?. (2016). Nicolini, Marcella ; Manera, Matteo ; Vignati, Ilaria .
In: Energy Economics.
RePEc:eee:eneeco:v:53:y:2016:i:c:p:220-229.
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The European sovereign debt crisis: What have we learned?. (2016). Stefanova, Denitsa ; KrÃƒÂ¤ussl, Roman ; Lehnert, Thorsten ; Kraussl, Roman.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:38:y:2016:i:pa:p:363-373.
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Uncovered interest parity: The long and the short of it. (2016). Lothian, James.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:36:y:2016:i:c:p:1-7.
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Market uncertainty, expected volatility and the mispricing of S&P 500 index futures. (2016). Wu, Wei-Shao ; Hsieh, Wen-Liang G ; Tu, Anthony H.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:35:y:2016:i:c:p:78-98.
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Dynamic allocations for currency futures under switching regimes signals. (2016). Reus, Lorenzo ; Mulvey, John M.
In: European Journal of Operational Research.
RePEc:eee:ejores:v:253:y:2016:i:1:p:85-93.
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Non-linear exchange rate relationships: An automated model selection approach with indicator saturation. (2016). Stillwagon, Josh.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:37:y:2016:i:c:p:84-109.
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The Chilean peso exchange-rate carry trade and turbulence. (2016). Cox, Paulo ; Carreno, Jose ; Carreo, Jose Gabriel .
In: Revista CEPAL.
RePEc:ecr:col070:41256.
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Currency Value. (2016). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
In: CEPR Discussion Papers.
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Currency Premia and Global Imbalances. (2016). Sarno, Lucio ; Della Corte, Pasquale ; Riddiough, Steven .
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:11129.
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ILLIQUIDITY IN THE STOCK AND FOREIGN EXCHANGE MARKETS: AN INVESTIGATION OF THEIR CROSS-MARKET DYNAMICS. (2016). Banti, Chiara.
In: Journal of Financial Research.
RePEc:bla:jfnres:v:39:y:2016:i:4:p:411-436.
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Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades. (2016). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
In: Journal of Finance.
RePEc:bla:jfinan:v:71:y:2016:i:2:p:601-634.
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FX Market Returns and Their Relationship to Investor Fear. (2016). Smales, Lee ; Kininmonth, Jardee N.
In: International Review of Finance.
RePEc:bla:irvfin:v:16:y:2016:i:4:p:659-675.
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Carry Trade y Depreciaciones Bruscas del Tipo de Cambio en Colombia. (2016). Gamboa-Estrada, Fredy.
In: Borradores de Economia.
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Carry trades and exchange rate volatility: a TVAR approach. (2016). Anzuini, Alessio ; Brusa, Francesca .
In: Temi di discussione (Economic working papers).
RePEc:bdi:wptemi:td_1046_15.
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The Financial Stability Dark Side of Monetary Policy. (2016). Venditti, Fabrizio ; Conti, Antonio ; Alessandri, Piergiorgio.
In: BCAM Working Papers.
RePEc:bbk:bbkcam:1601.
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Carry Trades and Sovereign CDS Spreads: Evidence from Asiaâ€Pacific Markets. (2015). Pavlova, Ivelina ; de Boyrie, Maria E.
In: Journal of Futures Markets.
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Returnâ€Implied Volatility Dynamics of High and Low Yielding Currencies. (2015). Kaurijoki, Miikka ; Aijo, Janne ; Nikkinen, Jussi .
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:35:y:2015:i:11:p:1026-1041.
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Global Equity Market Volatility Spillovers: A Broader Role for the United States. (2015). Buncic, Daniel ; Gisler, Katja I. M., .
In: Economics Working Paper Series.
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Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability. (2015). Buncic, Daniel ; Piras, Gion Donat .
In: Economics Working Paper Series.
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Uncovered Interest Parity in Central and Eastern Europe: Sample, Expectations and Structural Breaks. (2015). Staehr, Karsten ; Filipozzi, Fabio ; Cuestas, Juan.
In: Working Papers.
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What Drives International Portfolio Flows?. (2015). Ulloa, Barbara ; Tsiakas, Ilias ; Sarno, Lucio.
In: Working Paper series.
RePEc:rim:rimwps:15-16.
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Exchange Rates and UIP Violations at Short and Long Horizons. (2015). Valchev, Rosen.
In: 2015 Meeting Papers.
RePEc:red:sed015:1446.
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Currency Premia and Global Imbalances. (2015). Sarno, Lucio ; Riddiough, Steven ; Della Corte, Pasquale.
In: 2015 Meeting Papers.
RePEc:red:sed015:1215.
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Carry Trades, Order Flow and the Forward Bias Puzzle. (2015). Vitale, Paolo ; Rime, Dagfinn ; Breedon, Francis.
In: Working Papers.
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Carry Trades, Order Flow and the Forward Bias Puzzle. (2015). Vitale, Paolo ; Rime, Dagfinn ; Breedon, Francis.
In: Working Papers.
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Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets. (2015). Ledenyov, Dimitri.
In: MPRA Paper.
RePEc:pra:mprapa:67470.
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Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns. (2015). Jung, Kuk Mo ; Mo, Kuk.
In: MPRA Paper.
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Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring. (2015). Diebold, Francis X ; Yilmaz, Kamil.
In: OUP Catalogue.
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Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option. (2015). Stockl, Stefan ; Rudolph, David ; Rathgeber, Andreas.
In: Review of Derivatives Research.
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Hedge Funds and Stock Market Efficiency. (2015). Kokkonen, Joni ; Suominen, Matti.
In: Management Science.
RePEc:inm:ormnsc:v:61:y:2015:i:12:p:2890-2904.
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Risk appetite and exchange Rates. (2015). Shin, Hyun Song ; Etula, Erkko ; Adrian, Tobias.
In: Staff Reports.
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Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007â€“2013. (2015). Hui, Cho-Hoi.
In: International Review of Economics & Finance.
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Carry funding and safe haven currencies: A threshold regression approach. (2015). MacDonald, Ronald ; Hossfeld, Oliver.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:59:y:2015:i:c:p:185-202.
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The behavior of currencies during risk-off episodes. (2015). de Carvalho Filho, Irineu ; De Bock, Reinout ; de Carvalho Filho, Irineu, .
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:53:y:2015:i:c:p:218-234.
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Empirical evidence on the currency carry trade, 1900â€“2012. (2015). Swinkels, Laurens ; Doskov, Nikolay .
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:51:y:2015:i:c:p:370-389.
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Can implied volatility predict returns on the currency carry trade?. (2015). Swinkels, Laurens ; Egbers, Tom .
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:59:y:2015:i:c:p:14-26.
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What explains the dynamics of 100 anomalies?. (2015). Jacobs, Heiko.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:57:y:2015:i:c:p:65-85.
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Microstructure order flow: statistical and economic evaluation of nonlinear forecasts. (2015). MacDonald, Ronald ; Kim, Hyunsok ; cerrato, mario.
In: Journal of International Financial Markets, Institutions and Money.
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Investor attention and FX market volatility. (2015). Goddard, John ; Wang, Qingwei ; Kita, Arben .
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:38:y:2015:i:c:p:79-96.
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Trading price jump clusters in foreign exchange markets. (2015). Urga, Giovanni ; Novotn, Jan ; Petrov, Dmitri .
In: Journal of Financial Markets.
RePEc:eee:finmar:v:24:y:2015:i:c:p:66-92.
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On the determinants of pairs trading profitability. (2015). Weber, Martin ; Jacobs, Heiko.
In: Journal of Financial Markets.
RePEc:eee:finmar:v:23:y:2015:i:c:p:75-97.
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Australian Dollar carry trades: Time varying probabilities and determinants. (2015). Kim, Suk-Joong.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:40:y:2015:i:c:p:64-75.
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Does data frequency matter for the impact of forward premium on spot exchange rate?. (2015). Sharma, Susan ; Narayan, Paresh.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:39:y:2015:i:c:p:45-53.
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The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework. (2015). Cho, Dooyeon.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:34:y:2015:i:c:p:229-238.
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Predicting exchange rate cycles utilizing risk factors. (2015). Straetmans, Stefan ; Ahmed, Jameel.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:34:y:2015:i:c:p:112-130.
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Euro at risk: The impact of member countries credit risk on the stability of the common currency. (2015). Wolff, Christian ; Rasmouki, Fanou ; Lehnert, Thorsten ; Jin, Xisong ; Bekkour, Lamia .
In: Journal of Empirical Finance.
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On financial risk and the safe haven characteristics of Swiss franc exchange rates. (2015). Nitschka, Thomas ; Grisse, Christian.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:32:y:2015:i:c:p:153-164.
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Bank default risk and carry trade profit. (2015). Song, Chi-Young ; Kim, Daehwan.
In: Economics Letters.
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Asymmetric over- and undershooting of major exchange rates: Evidence from quantile regressions. (2015). Kuck, Konstantin ; Schweikert, Karsten ; Maderitsch, Robert .
In: Economics Letters.
RePEc:eee:ecolet:v:126:y:2015:i:c:p:114-118.
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Forecasting copper prices with dynamic averaging and selection models. (2015). Buncic, Daniel ; Moretto, Carlo .
In: The North American Journal of Economics and Finance.
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Uncovered interest parity in Central and Eastern Europe : expectations and structural breaks. (2015). Staehr, Karsten ; Filipozzi, Fabio ; Cuestas, Juan.
In: Bank of Estonia Working Papers.
RePEc:eea:boewps:wp2015-4.
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Investing in Systematic Factor Premiums. (2015). Stork, Philip ; Koedijk, Kees ; Slager, Alfred .
In: CEPR Discussion Papers.
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International Evidence on the Role of Monetary Policy in the Uncovered Interest Rate Parity Puzzle. (2015). Guender, Alfred.
In: Working Papers in Economics.
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Leverage on the buy side. (2015). Moreno, Ramon ; Avalos, Fernando ; Romero, Tania .
In: BIS Working Papers.
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Carry funding and safe haven currencies: A threshold regression approach. (2014). MacDonald, Ronald ; Hossfeld, Oliver.
In: Discussion Papers.
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A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis. (2014). Chang, Yang.
In: PhD Thesis.
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A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis. (2014). Chang, Yang.
In: PhD Thesis.
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Forecasting Copper Prices with Dynamic Averaging and Selection Models. (2014). Buncic, Daniel ; Moretto, Carlo .
In: Economics Working Paper Series.
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Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation. (2014). Stillwagon, Josh.
In: Working Papers.
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Country Fundamentals and Currency Excess Returns. (2014). Kim, Daehwan ; Song, Chi-Young .
In: East Asian Economic Review.
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Foreign Exchange Risk and the Predictability of Carry Trade Returns. (2014). Tsiakas, Ilias ; Sarno, Lucio ; Cenedese, Gino.
In: Working Paper series.
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The Term Structure of Currency Carry Trade Risk Premia. (2014). Lustig, Hanno ; Stathopoulos, Andreas ; Verdelhan, Adrien.
In: 2014 Meeting Papers.
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The onshore-offshore interaction of RMB market: a high-frequency analysis. (2014). Liu, Tao.
In: MPRA Paper.
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Global Variance Risk Premium and Forex Return Predictability. (2014). Aloosh, Arash.
In: MPRA Paper.
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Momentum Crashes. (2014). Daniel, Kent ; Moskowitz, Tobias J..
In: NBER Working Papers.
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The Liquidity Premium of Near-Money Assets. (2014). Nagel, Stefan.
In: NBER Working Papers.
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Looking at the other side of carry trades: Are there any safe haven currencies?. (2014). Raymond, Helene ; Guillaumin, Cyriac ; Coudert, Virginie.
In: Working Papers.
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Financial Crisis, Intervention and Performance Measurement. (2014). Ph, Apostolos Xanthopoulos .
In: International Journal of Economics & Business Administration (IJEBA).
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Exchange Rate Economics. (2014). Miller, Norman C..
In: Books.
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International correlation risk. (2014). Mueller, Philippe ; Stathopoulos, Andreas ; Vedolin, Andrea.
In: LSE Research Online Documents on Economics.
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Exchange rates, expected returns and risk: UIP unbound. (2014). Munro, Anella.
In: CAMA Working Papers.
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Extremal Dependence and Contagion. (2014). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee.
In: CAMA Working Papers.
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System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies. (2014). Gnabo, Jean-Yves ; Hvozdyk, Lyudmyla ; Lahaye, Jerome .
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:48:y:2014:i:pa:p:147-174.
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Uncovered Equity Parity and rebalancing in international portfolios. (2014). Warnock, Francis ; Thomas, Charles ; CharlesP. Thomas, ; Curcuru, Stephanie E. ; Wongswan, Jon .
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:47:y:2014:i:c:p:86-99.
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The impact of monetary policy on the exchange rate: A high frequency exchange rate puzzle in emerging economies. (2014). Kohlscheen, Emanuel.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:44:y:2014:i:c:p:69-96.
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Generating currency trading rules from the term structure of forward foreign exchange premia. (2014). Taylor, Mark ; Sager, Michael .
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:44:y:2014:i:c:p:230-250.
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Conditional risk premia in currency markets and other asset classes. (2014). Weber, Michael ; Maggiori, Matteo ; Lettau, Martin.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:114:y:2014:i:2:p:197-225.
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Foreign exchange risk and the predictability of carry trade returns. (2014). Tsiakas, Ilias ; Sarno, Lucio ; Cenedese, Gino.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:42:y:2014:i:c:p:302-313.
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Exchange Rates and Interest Parity. (2014). Engel, Charles.
In: Handbook of International Economics.
RePEc:eee:intchp:4-453.
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Trade intensity and purchasing power parity. (2014). Doblas-Madrid, Antonio ; Cho, Dooyeon.
In: Journal of International Economics.
RePEc:eee:inecon:v:93:y:2014:i:1:p:194-209.
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Predictability, trading rule profitability and learning in currency markets. (2014). PotÃƒÂ¬, Valerio ; Pattitoni, Pierpaolo ; Cucurachi, Paolo ; Poti, Valerio ; Levich, Richard M..
In: International Review of Financial Analysis.
RePEc:eee:finana:v:33:y:2014:i:c:p:117-129.
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Interest rate risk propagation: Evidence from the credit crunch. (2014). Chou, Ray ; Yang, Hsin-Feng ; Liu, Chih-Liang.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:28:y:2014:i:c:p:242-264.
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Is Implied Taylor Rule Interest Rate Applicable as a Carry Trade Strategy?. (2014). Ogruk, Gokcen.
In: International Journal of Economics and Financial Issues.
RePEc:eco:journ1:2014-04-17.
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Looking at the other side of carry trades: Are there any safe haven currencies?. (2014). RAYMOND, Helene ; Guillaumin, Cyriac ; Coudert, Virginie.
In: EconomiX Working Papers.
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Switching Risk Off: FX Correlations and Risk Premia. (2014). Beber, Alessandro ; Brandt, Michael ; Cen, Jason .
In: CEPR Discussion Papers.
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Common Macro Factors and Currency Premia. (2014). Taylor, Mark ; Filippou, Ilias.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:10016.
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The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru. (2014). Rincon-Castro, Hernan ; Pincheira, Pablo ; Julio, Juan ; Fuentes, Miguel.
In: BORRADORES DE ECONOMIA.
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Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?. (2014). RAYMOND, Helene ; Guillaumin, Cyriac ; Coudert, Virginie.
In: Working Papers.
RePEc:cii:cepidt:2014-03.
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Carry Funding and Safe Haven Currencies: A Threshold Regression Approach. (2014). MacDonald, Ronald ; Hossfeld, Oliver.
In: CESifo Working Paper Series.
RePEc:ces:ceswps:_5117.
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Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies. (2014). Yang, Minxian ; Wang, Jianxin ; Gochoco-Bautista, Maria Socorro.
In: The World Economy.
RePEc:bla:worlde:v:37:y:2014:i:6:p:811-833.
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When Carry Trades in Currency Markets are not Profitable. (2014). Cho, Dooyeon ; Baillie, Richard T..
In: Review of Development Economics.
RePEc:bla:rdevec:v:18:y:2014:i:4:p:794-803.
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Capital Inflows, Exchange Rate Flexibility and Credit Booms. (2014). Reinhart, Carmen ; Magud, Nicolas ; Vesperoni, Esteban R..
In: Review of Development Economics.
RePEc:bla:rdevec:v:18:y:2014:i:3:p:415-430.
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The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru. (2014). Vega, Marco ; Rincon-Castro, Hernan ; Pincheira, Pablo ; Moreno, Ramon ; Lahura, Erick ; Julio, Juan ; Garcia-Verdu, Santiago ; Fuentes, Miguel ; Zerecero, Miguel .
In: BIS Working Papers.
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The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru. (2014). Vega, Marco ; Rincon-Castro, Hernan ; Pincheira, Pablo ; Moreno, Ramon ; Lahura, Erick ; Julio, Juan ; Garcia-Verdu, Santiago ; Fuentes, Miguel ; Zerecero, Miguel .
In: Borradores de Economia.
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Banking Systemic Risk, Foreign Funding, Exchange Rate Exposure and Carry Trade: is there a relation?. (2014). Tabak, Benjamin ; Bruno Freitas Boynard de Vasconcelos, .
In: Working Papers Series.
RePEc:bcb:wpaper:365.
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Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence. (2014). Peters, Gareth W. ; Ames, Matthew ; Kosmidis, Ioannis ; Bagnarosa, Guillaume.
In: Papers.
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Banking Ssystems, central banks and international reserve accumulation in East Asian economies. (2013). Shrestha, Prakash Kumar.
In: Economics - The Open-Access, Open-Assessment E-Journal.
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International Investors, Exchange Rates and Equity Prices. (2013). Baur, Dirk G ; Miyakawa, Isaac .
In: Working Paper Series.
RePEc:uts:wpaper:178.
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Insured Uncovered Interest Parity. (2013). Wald, John K ; Tse, Yiuman.
In: Working Papers.
RePEc:tsa:wpaper:0172fin.
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The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns. (2013). Nitschka, Thomas ; Atanasov, Victoria .
In: Tinbergen Institute Discussion Papers.
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Do foreign exchange fund managers behave like heterogeneous agents?. (2013). Zwinkels, Remco ; Verschoor, Willem ; Remco C. J. Zwinkels, ; Willem F. C. Verschoor, ; Willem F. C. Verschoor, ; Remco C. J. Zwinkels, .
In: Quantitative Finance.
RePEc:taf:quantf:v:13:y:2013:i:7:p:1125-1134.
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Carry-trades on the yen and the Swiss franc: are they different?. (2013). Mollick, Andre ; Assefa, Tibebe .
In: Journal of Economics and Finance.
RePEc:spr:jecfin:v:37:y:2013:i:3:p:402-423.
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The Term Structure of Currency Carry Trade Risk Premia. (2013). Verdelhan, Adrien ; Lustig, Hanno ; Stathopoulos, Andreas.
In: NBER Working Papers.
RePEc:nbr:nberwo:19623.
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Commodity Trade and the Carry Trade: a Tale of Two Countries. (2013). Roussanov, Nikolai ; Ward, Colin ; Ready, Robert.
In: NBER Working Papers.
RePEc:nbr:nberwo:19371.
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Carry. (2013). Pedersen, Lasse ; Vrugt, Evert B. ; Moskowitz, Tobias J. ; Ralph S. J. Koijen, .
In: NBER Working Papers.
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Conditional Risk Premia in Currency Markets and Other Asset Classes. (2013). Weber, Michael ; Maggiori, Matteo ; Lettau, Martin.
In: NBER Working Papers.
RePEc:nbr:nberwo:18844.
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Hot Tip: Nominal Exchange Rates and Inflation Indexed Bond Yields. (2013). Clarida, Richard.
In: NBER Working Papers.
RePEc:nbr:nberwo:18726.
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Gauging the Safehavenness of Currencies. (2013). Wong, Alfred ; Fong, Tom .
In: Working Papers.
RePEc:hkm:wpaper:132013.
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Carry Trades and the Performance of Currency Hedge Funds. (2013). Valente, Giorgio ; Nucera, Federico.
In: Working Papers.
RePEc:hkm:wpaper:032013.
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The Effect of Capital Controls and Prudential FX Measures on Options-Implied Exchange Rate Stability. (2013). Rodriguez, Marius ; Marius del Giudice Rodriguez, ; Wu, Thomas .
In: Working Paper Series.
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Asymmetry in Government Bond Returns. (2013). Nagakura, Daisuke ; Fujiwara, Ippei ; Korber, Lena Mareen .
In: CAMA Working Papers.
RePEc:een:camaaa:2013-12.
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Are stock markets in Asia related to carry trade?. (2013). Fung, Hung-Gay ; Tse, Yiuman ; Zhao, Lin.
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:25:y:2013:i:c:p:200-216.
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What drives currency predictability?. (2013). PotÃƒÂ¬, Valerio ; Siddique, Akhtar ; Poti, Valerio.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:36:y:2013:i:c:p:86-106.
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Footprints in the market: Hedge funds and the carry trade. (2013). Fong, Wai Mun.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:33:y:2013:i:c:p:41-59.
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Carry trades and the performance of currency hedge funds. (2013). Valente, Giorgio ; Nucera, Federico.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:33:y:2013:i:c:p:407-425.
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Reassessing the link between the Japanese yen and emerging Asian currencies. (2013). Min, Hong-Ghi ; Kim, Hyeongwoo.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:33:y:2013:i:c:p:306-326.
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The â€œforward premium puzzleâ€ and the sovereign default risk. (2013). Mignon, ValÃƒÂ©rie ; Coudert, Virginie.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:32:y:2013:i:c:p:491-511.
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Can cross-country portfolio rebalancing give rise to forward bias in FX markets?. (2013). Chang, Sanders.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:32:y:2013:i:c:p:1079-1096.
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Asymmetry in government bond returns. (2013). Nagakura, Daisuke ; Koerber, Lena ; Fujiwara, Ippei ; Korber, Lena Mareen .
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:37:y:2013:i:8:p:3218-3226.
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Portfolio reallocation and exchange rate dynamics. (2013). Ding, Liang ; Ma, Jun.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:37:y:2013:i:8:p:3100-3124.
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Lessons from the evolution of foreign exchange trading strategies. (2013). Neely, Christopher ; Weller, Paul A..
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:37:y:2013:i:10:p:3783-3798.
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Is carry-trade a viable alternative asset class?. (2013). Kadapakkam, Palani-Rajan ; Tse, Yiuman ; Das, Sougata .
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:24:y:2013:i:c:p:247-257.
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Insured uncovered interest parity. (2013). Wald, John K. ; Tse, Yiuman.
In: Finance Research Letters.
RePEc:eee:finlet:v:10:y:2013:i:4:p:175-183.
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Carry trade and foreign exchange rate puzzles. (2013). Zwinkels, Remco ; Verschoor, Willem ; Spronk, Richard ; Zwinkels, Remco C. J., ; Verschoor, Willem F. C., .
In: European Economic Review.
RePEc:eee:eecrev:v:60:y:2013:i:c:p:17-31.
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Forecasting Exchange Rates: an Investor Perspective. (2013). Melvin, Michael ; Shand, Duncan ; Prins, John .
In: Handbook of Economic Forecasting.
RePEc:eee:ecofch:2-721.
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Determinants of stock market comovements among US and emerging economies during the US financial crisis. (2013). Min, Hong-Ghi ; Kim, Hyeongwoo ; Hwang, Eugene .
In: Economic Modelling.
RePEc:eee:ecmode:v:35:y:2013:i:c:p:338-348.
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Asymmetry in government bond returns. (2013). Nagakura, Daisuke ; Fujiwara, Ippei ; Korber, Lena Mareen ; Fuijwara, Ippei .
In: AJRC Working Papers.
RePEc:csg:ajrcwp:1301.
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Asymmetry in government bond returns. (2013). Nagakura, Daisuke ; Korber, Lena Mareen ; Fujiwara, Ippei.
In: AJRC Working Papers.
RePEc:csg:ajrcwp:01.
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Carry. (2013). Pedersen, Lasse ; Vrugt, Evert B. ; Moskowitz, Tobias J ; Koijen, Ralph.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:9771.
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Gambling for resurrection in Iceland: the rise and fall of the banks. (2013). Portes, Richard ; Baldursson, Fridrik.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:9664.
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Conditional Risk Premia in Currency Markets and Other Asset Classes. (2013). Weber, Michael ; Maggiori, Matteo ; Lettau, Martin.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:9484.
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Systematic Consumption Risk in Currency Returns. (2013). Studer-Suter, Rahel ; Hoffmann, Mathias.
In: CESifo Working Paper Series.
RePEc:ces:ceswps:_4273.
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Forecasting Exchange Rates: An Investor Perspective. (2013). Melvin, Michael ; Shand, Duncan ; Prins, John .
In: CESifo Working Paper Series.
RePEc:ces:ceswps:_4238.
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The response of tail risk perceptions to unconventional monetary policy. (2013). Sushko, Vladyslav ; Schrimpf, Andreas ; Hattori, Masazumi.
In: BIS Working Papers.
RePEc:bis:biswps:425.
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Information flows in foreign exchange markets: dissecting customer currency trades. (2013). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Mankhoff, Lukas .
In: BIS Working Papers.
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Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets. (2012). Schlogl, Erik ; Chang, Yang.
In: Research Paper Series.
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Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity. (2012). Ranaldo, Angelo ; Griffoli, Tommaso Mancini .
In: Working Papers on Finance.
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Managing Capital Accounts in Emerging Markets: Lessons from the Global Financial Crisis. (2012). Gabor, Daniela.
In: Journal of Development Studies.
RePEc:taf:jdevst:v:48:y:2012:i:6:p:714-731.
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Properties of Foreign Exchange Risk Premiums. (2012). Wagner, Christian ; Sarno, Lucio ; Schneider, Paul.
In: Working Paper series.
RePEc:rim:rimwps:10_12.
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Currency Momentum Strategies. (2012). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
In: Working Paper series.
RePEc:rim:rimwps:09_12.
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International Correlation Risk. (2012). Mueller, Philippe ; Vedolin, Andrea ; Stathopoulos, Andreas.
In: 2012 Meeting Papers.
RePEc:red:sed012:818.
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Crash Risk in Currency Returns. (2012). Zviadadze, Irina ; Chernov, Mikhail ; Graveline, Jeremy .
In: 2012 Meeting Papers.
RePEc:red:sed012:753.
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Carry Trade and Systemic Risk: Why are FX Options so Cheap?. (2012). Caballero, Ricardo ; Doyle, Joseph B..
In: NBER Working Papers.
RePEc:nbr:nberwo:18644.
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Country Size, Currency Unions, and International Asset Returns. (2012). Hassan, Tarek.
In: NBER Working Papers.
RePEc:nbr:nberwo:18057.
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Is there a carry trade channel of monetary policy in emerging countries?. (2012). Kisgergely, Kornel .
In: MNB Working Papers.
RePEc:mnb:wpaper:2012/3.
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Capital Inflows, Exchange Rate Flexibility, and Credit Booms. (2012). Reinhart, Carmen ; Magud, Nicolas ; Vesperoni, Esteban.
In: IMF Working Papers.
RePEc:imf:imfwpa:2012/041.
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Reserve Currencies: Factors of Evolution and their Role in the World Economy. (2012). Trunin, Pavel ; Narkevich, Sergey.
In: Research Paper Series.
RePEc:gai:rpaper:68.
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Risk-premia, carry-trade dynamics, and economic value of currency speculation. (2012). Wagner, Christian.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:31:y:2012:i:5:p:1195-1219.
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Sell-order liquidity and the cross-section of expected stock returns. (2012). Subrahmanyam, Avanidhar ; Brennan, Michael ; Chordia, Tarun ; Tong, Qing.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:105:y:2012:i:3:p:523-541.
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Properties of foreign exchange risk premiums. (2012). Wagner, Christian ; Sarno, Lucio ; Schneider, Paul.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:105:y:2012:i:2:p:279-310.
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The carry trade and fundamentals: Nothing to fear but FEER itself. (2012). Taylor, Alan ; Jorda, Oscar.
In: Journal of International Economics.
RePEc:eee:inecon:v:88:y:2012:i:1:p:74-90.
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Getting beyond carry trade: What makes a safe haven currency?. (2012). Stracca, Livio ; Habib, Maurizio M..
In: Journal of International Economics.
RePEc:eee:inecon:v:87:y:2012:i:1:p:50-64.
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Can dual-currency sovereign CDS predict exchange rate returns?. (2012). Zhang, Jianing ; Pu, Xiaoling .
In: Finance Research Letters.
RePEc:eee:finlet:v:9:y:2012:i:3:p:157-166.
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Euro at Risk: The Impact of Member Countriesâ€™ Credit Risk on the Stability of the Common Currency. (2012). Wolff, Christian ; Rasmouki, Fanou ; Lehnert, Thorsten ; Jin, Xisong ; bekkour, lamia.
In: CEPR Discussion Papers.
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Evaporating Liquidity. (2012). Nagel, Stefan.
In: CEPR Discussion Papers.
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Spread Components in the Hungarian Forint-Euro Market. (2011). Van Gysegem, Frederick ; FrÃƒÂ¶mmel, Michael ; FRMMEL, M..
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The Impact of Monetary Policy on Financial Markets in Small Open Economies: More or Less Effective During the Global Financial Crisis?. (2011). Ramayandi, Arief ; Tang, Hsiao Chink ; Pennings, Steven.
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Carry Trades and Global FX Volatility. (2009). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
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Analysis of the Relationship Between the Exchange Rate Policy of the Russian Central Bank and the Interest Rates: Uncovered and Covered Parity. (2009). Sokolov, Vladimir ; Ulyukaev, Alexey ; Gurvich, Evsey.
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Currency Carry Trade Regimes: Beyond the Fama Regression. (2009). Clarida, Richard ; Davis, Josh ; Pedersen, Niels .
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself. (2009). Taylor, Alan ; Jorda, Oscar.
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The crisis in the foreign exchange market. (2009). Taylor, Mark ; Melvin, Michael.
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The Revenge of Purchasing Power Parity on Carry Trades during Crises. (2009). Drut, Bastien ; Briere, Marie.
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself. (2009). Taylor, Alan ; Jorda, Oscar.
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The Crisis in the Foreign Exchange Market. (2009). Taylor, Mark ; Melvin, Michael.
In: CEPR Discussion Papers.
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When Everyone Runs for the Exit. (2009). Pedersen, Lasse.
In: CEPR Discussion Papers.
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The Time-Varying Systematic Risk of Carry Trade Strategies. (2009). SÃƒÂ¶derlind, Paul ; Ranaldo, Angelo ; Christiansen, Charlotte ; Soderlind, Paul .
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The Crisis in the Foreign Exchange Market. (2009). Taylor, Mark ; Melvin, Michael.
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The Time-Varying Systematic Risk of Carry Trade Strategies. (2009). SÃƒÂ¶derlind, Paul ; Ranaldo, Angelo ; Christiansen, Charlotte ; Soderllind, Paul .
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Of Low Yielders and Carry Trading â€“ the JPY and CHF as Market Risk Sentiment Gauges. (2008). Vistesen, Claus.
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Carry Trade. (). Jorda, Oscar.
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Carry Trades and Currency Crashes. (2008). Pedersen, Lasse ; Nagel, Stefan ; Brunnermeier, Markus.
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RePEc:nbr:nberwo:14473.
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Carry Trades and Currency Crashes. (2008). Pedersen, Lasse ; Nagel, Stefan ; Brunnermeier, Markus. In: NBER Working Papers. RePEc:nbr:nberwo:14473. Full description at Econpapers || Download paper

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Carry Trades and Currency Crashes. (2008). Pedersen, Lasse ; Nagel, Stefan ; Brunnermeier, Markus.
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RePEc:nbr:nberwo:14473.
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