currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … fundamental determinants. We therefore address the question of whether a supposed safe haven currency only appreciates in times of … crises because carry trades are unwound, in which the corresponding currency has served as funding currency, or whether it …

currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … fundamental determinants. We therefore address the question of whether a supposed safe haven currency only appreciates in times of … crises because carry trades are unwound, in which the corresponding currency has served as funding currency, or whether it …

currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … fundamental determinants. We therefore address the question of whether a supposed safe haven currency only appreciates in times of … crises because carry trades are unwound, in which the corresponding currency has served as funding currency, or whether it …

currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … fundamental determinants. We therefore address the question of whether a supposed safe haven currency only appreciates in times of … crises because carry trades are unwound, in which the corresponding currency has served as funding currency, or whether it …

In this paper we derive the measure of position-unwinding risk of currency carry trade portfolios from the currency … currency volatility, and highly correlated with global currency skewness risk. We show that high interest-rate currencies are … (overshooting) upon default components to analyze currency risk premia. We investigate the sovereign CDS spreads as the proxy for …

currency carry trades can be understood as the compensation for misalignment and speculative risks, which explain over 96% of …, and cover the information of volatility risk. Currency trading strategies exploiting these 3 properties provide striking … attributes and factor structure of 7 studied currency investment strategies and of over 30 individual currencies using …