Boeck, Maximilian; Steshkova, Alina; Zörner, Thomas - 2024 - This Version: August 2024
This paper examines how carry trade activity affects the transmission of monetary policy in currency markets. It … autoregressive model is fitted to discriminate between different regimes of speculative carry trade activity. Higher carry trade … the carry trade in terms of the Sharpe ratio and downside risk. …