currency. In addition, carry trade portfolios are exposed to multiple risk factors. Those factors are more significant at the … emerging markets. Finally, high country risk predicted high carry trade return …

measure of funding risk is the standard deviation of the magnitude of the funding constraints. This funding risk measure …, oil price volatility, as well as by the actions of the main central banks. Although funding risk has been present … constraints start binding at that time. We document evidence that since 2008 funding risk has affected the magnitude of currency …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

In this paper, we measure currency carry trade funding risk using stock market volatility and crash risk in Japan, the … main funding currency country. We show that the measures of funding risk in Japan can explain 42% of the monthly currency …

a time-varying risk premium consistent with that bias. Using ten years of data on FX order flow we find that more than … find that carry trading increases currency-crash risk in that order flow generates negative skewness in FX returns. …