relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset … prices, short-term portfolio flows and currency options data are used. We find that changes in equity index differentials …, short-term speculative flows and risk reversals on currency options prices exhibit consistent contemporaneous indicator …

We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries … characteristics (consumption, interest rates) and also does well on the cross section of bilateral currency movements. Eventually, a …

We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing …

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange …

carry trading or other patterns of currency trading over the recent period of the ultra-loose US monetary policy. Our …. That is, the USD, as the lower yielding currency, is associated with short positions. The payoff distributions of these … in line with uncovered interest parity trading; that is, the lower (higher) yielding currency is associated with long …

currencies can be treated as the same asset if their exchange rates vis-à-vis the same base currency are cointegrated with a … yield that periods of strong comovements of the US dollar and Pound sterling based upon the Euro prevail during the 1990s … and periods of comovements of Euro and Pound sterling denominated in US dollar prevail since the introduction of the Euro …