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Carry Trade and Momentum in Currency Markets / Craig Burnside, Martin S. Eichenbaum, Sergio Rebelo.
- Format:
- Book
- Author/Creator:
- Burnside, Craig.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w16942.
- NBER working paper series no. w16942
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2011.
- Summary:
- We examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are being compensated for bearing risk. The second is that these strategies are vulnerable to rare disasters or peso problems. The third is that there is price pressure in currency markets.
- Notes:
- Print version record
- April 2011.
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