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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 - Matematikai Közgazdaságtan és Gazdaságelemzés, … - 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/10005523132
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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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Interconnected Deviations from Covered Interest Parity
Ahelegbey, Daniel Felix - 2020
We investigate the dynamic interconnectedness among the major world cross-currency basis swap spreads during tranquil and turbulent times. We examine whether movements in the bases are merely anecdotal or provide evidence of contagion, the most central basis for spillover propagation, and...
Persistent link: https://www.econbiz.de/10012823162
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Testing for UIP : nonlinearities, monetary announcements and interest rate expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...
Persistent link: https://www.econbiz.de/10012508617
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Exchange rate parities and taylor rule deviations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five...
Persistent link: https://www.econbiz.de/10012491545
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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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Exchange Rate Parities and Taylor Rule Deviations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five...
Persistent link: https://www.econbiz.de/10013236279
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Volatility spillovers between the European and South African foreign exchange markets
Niyitegeka, Olivier; Tewari, Devi D. - In: Cogent economics & finance 8 (2020) 1, pp. 1-17
This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro and the South African rand following the Eurozone sovereign debt crisis. It employs two multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) models,...
Persistent link: https://www.econbiz.de/10012215203
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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