Do Peso Problems Explain the Returns to the Carry Trade?

We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs which are on average large and uncorrelated with traditional risk factors. We argue that these payoffs reflect a peso problem. The underlying peso event features high values of the stochastic discount factor rather than very large negative payoffs

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Year of publication:	[2010]
Authors:	Burnside, A. Craig
Other Persons:	Eichenbaum, Martin (contributor) ; Kleshchelski, Isaac (contributor) ; Rebelo, Sergio T. (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Währungsspekulation \| Currency speculation \| Wechselkurs \| Exchange rate \| Zinsparität \| Interest rate parity \| Welt \| World \| Derivat \| Derivative \| Geld-Brief-Spanne \| Bid-ask spread \| Hedging

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Extent:	1 Online-Ressource (57 p)
Series:	NBER Working Paper ; No. w14054
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2008 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012759296