The Rise and Fall of the Carry Trade: Links to Exchange Rate Predictability

2019 ◽  
Author(s):  
Ilias Filippou ◽  
David Rapach ◽  
Mark Peter Taylor ◽  
Guofu Zhou

2020 ◽  
Vol 13 (6) ◽  
pp. 513
Author(s):  
Gokcen Ogruk Maz ◽  
Shengxiong Wu ◽  
Sinan Yildirim




2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Nelson H. Barbosa-Filho

Abstract This paper presents a partial equilibrium model that integrates interest rate arbitrage with the balance-of-payments constraint to determine the real exchange rate. The sequential logic is the following: (i) carry-trade determines the term premium, with the spot rate showing greater volatility than the forward rate, (ii) uncovered interest rate parity determines the spot rate based on the real exchange rate consistent with a financial constraint, defined as a stable ratio of foreign reserves to foreign debt; and (iii) the trade balance consistent with the financial constraint determines the long-run real exchange rate for a given ratio of domestic to foreign income.



2010 ◽  
Author(s):  
Ming-Hua Liu ◽  
Dimitris Margaritis ◽  
Alireza Tourani Rad


2011 ◽  
Vol 30 (5) ◽  
pp. 877-895 ◽  
Author(s):  
Carlos Felipe López-Suárez ◽  
José Antonio Rodríguez-López






Sign in / Sign up

Export Citation Format

Share Document