Determinants of carry trades in Central and Eastern Europe

In this paper, I analyze determinants of carry trade returns in Central and Eastern Europe (CEE). I show that carry trades to CEE were lucrative due to interest rate spreads between the funding and investment currency from 2004 to 2006. They became unprofitable when liquidity risk and exchange rate volatility increased after 2007. The analysis suggests that the exchange rate regime of the CEE economy matters for carry trade returns. Overall, exchange rate stabilization, particularly via managed floats, seems to allow for the highest profit opportunities.

MoreLess

Year of publication:	2011
Authors:	Hoffmann, Andreas
Publisher:	Leipzig : Universität Leipzig, Wirtschaftswissenschaftliche Fakultät
Subject:	Devisenhandel \| Zinsparität \| Devisenspekulation \| Kapitalertrag \| Wechselkurssystem \| Osteuropa \| carry trades \| emerging markets \| exchange rates

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	Working Paper ; 102
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	686074386 [GVK] hdl:10419/55536 [Handle] RePEc:zbw:leiwps:102 [RePEc]
Classification:	E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy ; F31 - Foreign Exchange ; G11 - Portfolio Choice
Source:	EconStor

Persistent link: https://www.econbiz.de/10010308140