Risk in Carry Trades : A Look at Target Currencies in Asia and the Pacific

We analyse carry trades involving the Australian dollar, Indonesian rupiah, Indian rupee, New Zealand dollar and Philippine peso as target currencies. We find evidence supporting the view that downside risk is an important feature of such strategies and propose ways of measuring this risk

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Year of publication:	2013
Authors:	Gyntelberg, Jacob
Other Persons:	Remolona, Eli M. (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Asiatisch-pazifischer Raum \| Asia-Pacific region \| Währungsrisiko \| Exchange rate risk \| Währungsspekulation \| Currency speculation \| Zinsparität \| Interest rate parity \| Volatilität \| Volatility \| Kapitaleinkommen \| Capital income \| Risikomaß \| Risk measure

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Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: BIS Quarterly Review, December 2007 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 10, 2007 erstellt
Classification:	F31 - Foreign Exchange ; G15 - International Financial Markets ; G18 - Government Policy and Regulation ; N25 - Asia including Middle East
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013095285