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A currency carry trade is a strategy that goes long high interest rate currencies and short low interest rate currencies. A typical carry trade involves buying the Australian dollar, which for much of the last three decades earned a high interest rate, and funding the position with
- Robert Ready, Nikolai Roussanov, Colin Ward
- 2017
The Carry Trade: Risks and Drawdowns Kent Daniel, Robert J. Hodrick, and Zhongjin Lu NBER Working Paper No. 20433 August 2014 JEL No. F31,G12,G15 ABSTRACT We examine carry trade returns formed from the G10 currencies. Performance attributes depend on the base currency.
- Kent Daniel, Robert J Hodrick, Zhongjin Lu
- 2017
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself Òscar Jordà and Alan M. Taylor NBER Working Paper No. 15518 November 2009, Revised November 2009 JEL No. C44,F31,F37,G14,G15,G17 ABSTRACT The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies.
- Òscar Jordà, Òscar Jordà, Alan M. Taylor, Alan M. Taylor, Alan M. Taylor
- 2012
Mar 11, 2016 · A carry trade is an investment in a high interest rate currency that is funded by borrowing in a low interest rate currency. The `carry' is the ex-ante observable positive interest di erential. Returns to the carry trades are uncertain because the exchange rate between the two currencies may change.
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1 Introduction. This paper empirically examines returns to carry trades in the major international currency markets including their exposures to various risk factors. A carry trade is an investment in a high interest rate currency that is funded by borrowing in a low interest rate currency.
Dec 8, 2015 · First published: 08 December 2015. https://doi.org/10.1002/9781119212997.ch18. PDF. Tools. Share. Summary. The leverage carry trade strategy is the quintessential global macro trade that has long been one of the favorite strategies of hedge funds and investment banks.
Commodity Trade and the Carry Trade: A Tale of Two Countries. Robert Readyy, Nikolai Roussanovzand Colin Wardx. January 15, 2015. Abstract. Persistent di erences in interest rates across countries account for much of the prof-itability of currency carry trade strategies.
