Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154401
Authors: 
Falconio, Andrea
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper No. 1968
Abstract: 
This paper investigates the relation between monetary conditions and the excess returns arising from an investment strategy that con- sists of borrowing low-interest rate currencies and investing in currencies with high interest rates, so-called "carry trade". The results indicate that carry trade average excess return, Sharpe ratio and 5% quantile differ substantially across expansive and restrictive conventional mone- tary policy before the onset of the recent financial crisis. By contrast, the considered parameters are not affected by unconventional monetary policy during the financial crisis.
Subjects: 
carry trade
monetary conditions
volatility
JEL: 
F31
G15
E52
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2216-6
Document Type: 
Working Paper

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