| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6847 |
| DP6847 Who is Against a Common Market? | |
| Cecilia Testa; Giovanni Facchini | |
| 发表日期 | 2008-06-23 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | Currencies that are at a forward premium tend to depreciate. This `forward-premium puzzle' is an egregious deviation from uncovered interest parity. We document the properties of the carry trade, a currency speculation strategy that exploits this anomaly. This strategy consists of borrowing low-interest-rate currencies and lending high-interest-rate currencies. We first show that the carry trade yields a high Sharpe ratio that is not a compensation for risk. We then consider a hedged version of the carry trade, which protects the investor against large, adverse currency movements. This strategy, implemented with currency options, yields average payoffs that are statistically indistinguishable from the average payoffs to the standard carry trade. We argue that this finding implies that the peso problem cannot be a major determinant of the payoff to the carry trade. |
| 主题 | International Macroeconomics |
| 关键词 | Carry trade Exchange rates Uncovered interest parity |
| URL | https://cepr.org/publications/dp6847 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535712 |
| 推荐引用方式 GB/T 7714 | Cecilia Testa,Giovanni Facchini. DP6847 Who is Against a Common Market?. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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