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. …

I investigate the relationship between carry trades and tail risk for a panel of commodity futures contracts. Unlike … significant effect on tail risk mostly in the short term and for the front end of the futures curve. In addition, the empirical … speculators and insurance providers are subject to limited risk capacity and financing liquidity constraints …

negative skewness risk. Additionally, factor risks that affect foreign money changes, foreign inflation changes, as well as … changes to a newly developed Carry Trade Activity Index and the VIX index, as a proxy for global risk aversion, make up the … carry trade risk anatomy. These findings are not exclusively important for carry traders, but also contribute to the …

The returns to carry trades are controversially discussed as there seems to be no unifying risk-based explanation of … currency returns and stock returns. This paper addresses carry trade returns from a risk pricing perspective and examines if … these returns can be connected to persistent cross-country differences of risk aversion. Therefore, I analyze a data set of …