Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/108145 
Autor:innen: 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
IEHAS Discussion Papers No. MT-DP - 2008/22
Verlag: 
Hungarian Academy of Sciences, Institute of Economics, Budapest
Zusammenfassung: 
Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the hypothesis of uncovered interest rate parity. We explain these findings with the leveraged nature of carry trade: leverage may increase profitability but it materially increases downside risk. We argue that market inefficiency is related to the level of leverage.
Schlagwörter: 
Bootstrap
Currency market
Diversification
Leverage
Uncovered interest rate parity
JEL: 
C32
F31
G11
G15
ISBN: 
978-963-9796-40-9
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
2.11 MB





Publikationen in EconStor sind urheberrechtlich geschützt.