Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/339000 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Working Paper No. 10/2025
Verlag: 
Örebro University School of Business, Örebro
Zusammenfassung: 
This paper examines the role of long-run and cyclical components of interest rate differentials in explaining the returns to currency carry strategies. We show that long-run differentials account for most of the profitability, while cyclical differentials play only a limited role. A simple strategy that goes long currencies above the median long-run differential and shorts those below delivers a statistically and economically significant annualized excess return of 2.48%. Relative to traditional carry, our strategy achieves a higher Sharpe ratio, lower turnover and a less negative skewness. We introduce a new tradable carry factor that explains the cross section of currency returns beyond the benchmark carry factor.
Schlagwörter: 
Carry trade
currencies
long-run interest rates
trend-cycle decomposition
JEL: 
G12
G15
F31
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.13 MB





Publikationen in EconStor sind urheberrechtlich geschützt.