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Leveraged Carry Trade Portfolios
Darvas, Zsolt - 2008
no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not … with the leveraged nature of carry trade: leverage may increase profitability but it materially increases downside risk. We … argue that market inefficiency is related to the level of leverage. …
Persistent link: https://www.econbiz.de/10010494390
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Leveraged carry trade portfolios
Darvas, Zsolt M. (contributor) - 2008
argue that market inefficiency is related to the level of leverage. -- Bootstrap ; Currency market ; Diversification … no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not … with the leveraged nature of carry trade: leverage may increase profitability but it materially increases downside risk. We …
Persistent link: https://www.econbiz.de/10003774170
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The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns
Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023
We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...
Persistent link: https://www.econbiz.de/10014305726
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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 2007
The aim of this paper is to investigate the market efficiency on the foreign exchange market since the introduction of the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure of the global foreign exchange market to the extent...
Persistent link: https://www.econbiz.de/10003582754
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Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10011313235
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Foreign Exchange Predictability During the Financial Crisis : Implications for Carry Trade Profitability
Anatolyev, Stanislav - 2017
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10012948703
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Central Bank Swap Lines : Micro-level Evidence
Ferrara, Gerardo; Mueller, Philippe; Viswanath-Natraj, … - 2022
In this paper we investigate the price, volatility and micro-level effects of central bank swap lines during the 2020 pandemic. These policies lowered the ceiling on covered interest rate parity violations and reduced volatility following settlement of swap line auctions. We then combine...
Persistent link: https://www.econbiz.de/10013289210
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Lessons from the Evolution of Foreign Exchange Trading Strategies
Neely, Christopher J. - 2011
The adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances. This paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from forex technical rules in major and emerging markets, the...
Persistent link: https://www.econbiz.de/10013120580
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Lessons from the Evolution of Foreign Exchange Trading Strategies
Neely, Christopher J. - 2013
The adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances. This paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from foreign exchange (forex) technical rules in major and...
Persistent link: https://www.econbiz.de/10013092372
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Conditional Risk Premia in Currency Markets and Other Asset Classes
Lettau, Martin - 2017
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....
Persistent link: https://www.econbiz.de/10012974570