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Uncovered interest parity and financial market volatility
Horobeţ, Alexandra; Dumitrescu, Sorin; Dumitrescu, Dan … - In: The Romanian economic journal : REJ 12 (2009) 2, pp. 21-45
Persistent link: https://www.econbiz.de/10008655950
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Carry trades, momentum trading and the forward premium anomaly
Baillie, Richard; Chang, Sanders S. - In: Journal of financial markets 14 (2011) 3, pp. 441-464
Persistent link: https://www.econbiz.de/10009261760
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Carry trades, order flow and the forward bias puzzle
Breedon, Francis J.; Rime, Dagfinn; Vitale, Paolo - 2015
We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....
Persistent link: https://www.econbiz.de/10011396784
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Nonlinearity in the reaction of the foreign exchange market to interest rate differentials : evidence from a small open economy with a long-term peg
Jackman, Mahalia; Craigwell, Roland C.; Doyle-Lowe, Michelle - In: Applied financial economics 23 (2013) 4/6, pp. 287-296
Persistent link: https://www.econbiz.de/10009718935
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Currency forecast errors and carry trades at times of low interest rates : evidence from survey data on the yen/dollar exchange rate
MacDonald, Ronald; Nagayasu, Jun - In: Journal of international money and finance 53 (2015), pp. 1-19
Persistent link: https://www.econbiz.de/10011475902
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Carry trades, agent heterogeneity and the exchange rate
Li, Xiao-Ping; Zhou, Chun-Yang; Tong, Bin - In: International review of economics & finance : IREF 64 (2019), pp. 343-358
Persistent link: https://www.econbiz.de/10012372800
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Carry trade and forward premium puzzle from the perspective of a safe-haven currency
Haab, David R.; Nitschka, Thomas - 2018
Persistent link: https://www.econbiz.de/10011948343
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Interest rate differentials under an exchange rate convertibility zone : a carry trade perspective
Fung, Joseph K. W.; Lam, Eric - 2019
Persistent link: https://www.econbiz.de/10012203057
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Predicting foreign investors' carry trade activity in the Israeli FX market using a time-varying currency risk premium approach
Mantzura, Ariel; Shraiber, Bentsi - In: International review of economics & finance : IREF 59 (2019), pp. 438-457
Persistent link: https://www.econbiz.de/10012203257
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Cyclical and persistent carry trade returns and forward premia
Zoubi, Haitham al- - In: The quarterly journal of finance 7 (2017) 4, pp. 1-33
Persistent link: https://www.econbiz.de/10011774154