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
Keyword(s):  
Exchange Rate ◽  
Carry Trade ◽  
Exchange Rate Predictability

Exchange rate predictability, common factors, and applications in carry trade

2020 ◽  
Vol 13 (6) ◽  
pp. 513
Author(s):  
Gokcen Ogruk Maz ◽  
Shengxiong Wu ◽  
Sinan Yildirim
Keyword(s):  
Exchange Rate ◽  
Common Factors ◽  
Carry Trade ◽  
Exchange Rate Predictability

Exchange rate predictability, common factors, and applications in carry trade.

2020 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Sinan Yildirim ◽  
Shengxiong Wu ◽  
Gokcen Ogruk Maz
Keyword(s):  
Exchange Rate ◽  
Common Factors ◽  
Carry Trade ◽  
Exchange Rate Predictability

Carry Trade, Exchange Rates, and the Balance-of-Payments

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Nelson H. Barbosa-Filho
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Real Exchange Rate ◽  
Foreign Debt ◽  
Balance Of Payments ◽  
Forward Rate ◽  
Spot Rate ◽  
Financial Constraint ◽  
Carry Trade ◽  
The Real

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.

Risk Appetite, Carry Trade and Exchange Rate

2010 ◽  
Author(s):  
Ming-Hua Liu ◽  
Dimitris Margaritis ◽  
Alireza Tourani Rad
Keyword(s):  
Exchange Rate ◽  
Carry Trade ◽  
Risk Appetite ◽  
Trade And Exchange

scholarly journals Nonlinear exchange rate predictability

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

scholarly journals Exchange rate predictability in emerging markets

2019 ◽  
Vol 157 ◽  
pp. 1-22 ◽  
Author(s):  
Elisa Baku
Keyword(s):  
Exchange Rate ◽  
Emerging Markets ◽  
Exchange Rate Predictability

Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-Country Panel

2005 ◽  
Vol 37 (3) ◽  
pp. 495-516 ◽  
Author(s):  
Jan J. J. Groen
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Predictability
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