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Crash Risk in Currency Returns
Chernov, Mikhail - 2015
We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian dollar, the British pound, the Swiss franc, and the Japanese yen. The model...
Persistent link: https://www.econbiz.de/10013037072
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Aggregate Trading Behaviour of Technical Models and the Yen/Dollar Exchange Rate 1976-2007
Schulmeister, Stephan - 2010
The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite profitably between 1976 and 2007. I then show that the...
Persistent link: https://www.econbiz.de/10013135725
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Foreign Exchange Fixings and Returns Around the Clock
Krohn, Ingomar - 2020
the U.S dollar numeraire, amplified in states of high anticipated volatility, low liquidity, and that arbitrageurs can …
Persistent link: https://www.econbiz.de/10012843762
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The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity
Shehadeh, Ali - 2016
In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency … carry trades during high FX volatility regime, we also show that the well-established negative slope coefficient in the Fama …
Persistent link: https://www.econbiz.de/10012989965
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Risk in Carry Trades : A Look at Target Currencies in Asia and the Pacific
Gyntelberg, Jacob - 2013
We analyse carry trades involving the Australian dollar, Indonesian rupiah, Indian rupee, New Zealand dollar and Philippine peso as target currencies. We find evidence supporting the view that downside risk is an important feature of such strategies and propose ways of measuring this risk
Persistent link: https://www.econbiz.de/10013095285
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The pricing of unexpected volatility in the currency market
Lu, Wenna; Copeland, Laurence S.; Xu, Yongdeng - 2021
Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns … returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are … unexpectedly volatile. Volatility innovations during relatively tranquil periods are largely unrewarded in the market, whereas …
Persistent link: https://www.econbiz.de/10012591966
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Impact of macroeconomic surprises on carry trade activity
Hutchison, Michael M.; Sushko, Vladyslav - 2010
This paper investigates market perceptions of the risk of large exchange rate movements by using information gleaned from risk reversal contracts and macroeconomic news surprises. We focus on the height of the carry trade period in Japan (March 2004 through December 2006). Concerns about sharp...
Persistent link: https://www.econbiz.de/10008698328
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Impact of Macroeconomic Surprises on Carry Trade Activity
Hutchison, Michael M.; Sushko, Vladyslav - 2011
literature, we are able to identify a significant impact of macroeconomic surprises on foreign exchange volatility of JPY …
Persistent link: https://www.econbiz.de/10014190558
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The Impact of Jumps on Carry Trade Returns
Lee, Suzanne S. - 2017
This paper investigates how jump risks are priced in currency markets. We find that currencies whose changes are more sensitive to negative market jumps provide significantly higher expected returns. The positive risk premium constitutes compensation for the extreme losses during periods of...
Persistent link: https://www.econbiz.de/10012962966
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Volatility transmitter or receiver? : investigating dynamic connectedness between the carry trade and financial markets
Nefzi, Nourhaine; Melki, Abir - In: Borsa Istanbul Review 23 (2023) 3, pp. 748-758
negative, but, during the Covid-19 pandemic, the carry trade is the main net transmitter of volatility to all markets. Our …
Persistent link: https://www.econbiz.de/10014308844