Ogruk, Gokcen - In: International Journal of Economics and Financial Issues 4 (2014) 4, pp. 909-919
This paper evaluates the performance of carry trade strategies with implied Taylor rule interest rate differentials and … has a possibility of crash risk. I argue that the crash risk is reduced with implied Taylor rule interest rate … carry trading strategies with Taylor rule perform best in terms of mean returns, risk adjusted returns and downside risk. …