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Autor:innen: 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
ECB Working Paper No. 1968
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
carry trade
monetary conditions
volatility
JEL: 
F31
G15
E52
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-2216-6
Dokumentart: 
Working Paper

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