1 option
Commodity Trade and the Carry Trade: a Tale of Two Countries / Robert Ready, Nikolai Roussanov, Colin Ward.
- Format:
- Book
- Author/Creator:
- Ready, Robert.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w19371.
- NBER working paper series no. w19371
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Commodity Trade and the Carry Trade
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2013.
- Summary:
- Persistent differences in interest rates across countries account for much of the profitability of currency carry trade strategies. "Commodity currencies'' tend to have high interest rates while low interest rate currencies belong to exporters of finished goods. This pattern arises in a complete-markets model with trade specialization and limited shipping capacity, whereby commodity-producing countries are insulated from global productivity shocks, which are absorbed by the final goods producers. Empirically, a commodity-based strategy explains a substantial portion of the carry-trade risk premia, and all of their pro-cyclical predictability with commodity prices and shipping costs, as predicted by the model.
- Notes:
- Print version record
- August 2013.
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 If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.