Carry Trade and Momentum in Currency Markets

Craig Burnside, Martin S. Eichenbaum, Sergio Rebelo

We examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are being compensated for bearing risk. The second is that these strategies are vulnerable to rare disasters or peso problems. The third is that there is price pressure in currency markets

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Year of publication:	April 2011
Authors:	Burnside, Craig
Other Persons:	Eichenbaum, Martin S. (contributor) ; Rebelo, Sergio (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Währungsspekulation \| Currency speculation \| Devisenmarkt \| Foreign exchange market \| Währungsrisiko \| Exchange rate risk \| Wechselkurs \| Exchange rate \| Theorie \| Theory

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Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w16942
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w16942 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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