1 option
The Currency Carry Trade and Subjective Expectations Kyung Rok Min
- Format:
- Book
- Thesis/Dissertation
- Author/Creator:
- Min, Kyung Rok, author.
- Language:
- English
- Subjects (All):
- Finance.
- Film studies.
- 0508.
- 0900.
- 0501.
- Local Subjects:
- Finance.
- Film studies.
- 0508.
- 0900.
- 0501.
- Physical Description:
- 1 electronic resource (75 pages)
- Contained In:
- Dissertations Abstracts International 86-12A
- Place of Publication:
- Ann Arbor : ProQuest Dissertations and Theses, 2025
- Language Note:
- English
- Summary:
- Using survey-based forecasts, we construct measures of subjective return expectations for the currency carry trade and uncover systematic forecast errors in both the exchange rate and interest rate components. The evidence on forecast error dynamics points towards extrapolative beliefs. In addition, we find a negative correlation between return expectations and contemporaneous exchange rate movements, as well as a positive correlation with net bond inflows at the currency level, consistent with the idea that return expectations for the carry trade contribute to currency demand. We also document patterns in conditional correlation between expected currency appreciation and subsequent exchange rate movements, and link those results to a related evidence on forecast errors.
- Notes:
- Source: Dissertations Abstracts International, Volume: 86-12, Section: A.
- Advisors: Roussanov, Nikolai Committee members: Myers, Sean; Abel, Andrew B.
- Ph.D. University of Pennsylvania 2025
- Local Notes:
- School code: 0175
- ISBN:
- 9798280757349
- Access Restriction:
- Restricted for use by site license
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.