Burnside, A. Craig; Cerrato, Mario; Zhang, Zhekai - 2022
so doing, we bring two strands of the exchange rate literature, namely market-microstructure and risk-based models … carry trading and momentum strategies. We find that they appear to be good proxies for currency crash risk. Additionally, we … the foreign exchange market. In particular, it appears that financial customers are risk takers in the market, while non …