dc.contributor.author | Accominotti, O | |
dc.contributor.author | Cen, J | |
dc.contributor.author | Chambers, D | |
dc.contributor.author | Marsh, IW | |
dc.date.accessioned | 2020-01-21T13:33:45Z | |
dc.date.issued | 2019-03-14 | |
dc.description.abstract | This study exploits a new long-run data set of daily bid and offered exchange rates in spot and forward markets from 1919 to the present to analyze carry returns in fixed and floating currency regimes. We first find that outsized carry returns occur exclusively in the floating regime, being zero in the fixed regime. Second, we show that fixed-to-floating regime shifts are associated with negative returns to a carry strategy implemented only on floating currencies, robust to the inclusion of volatility risks. These shifts are typically characterized by global flight-to-safety events that represent bad times for carry traders. | en_GB |
dc.description.sponsorship | Cambridge University’s Centre for Endowment Asset Management (CEAM) | en_GB |
dc.description.sponsorship | Cambridge Endowment for Research in Finance (CERF) | en_GB |
dc.description.sponsorship | London School of Economics’ Research Infrastructure and Investment Fund (RIIF) | en_GB |
dc.identifier.citation | Vol. 54 (5), pp. 2233 - 2260 | en_GB |
dc.identifier.doi | 10.1017/S002210901900019X | |
dc.identifier.uri | http://hdl.handle.net/10871/40524 | |
dc.language.iso | en | en_GB |
dc.publisher | Cambridge University Press (CUP) | en_GB |
dc.rights | © Michael G. Foster School of Business, University of Washington 2019 | en_GB |
dc.title | Currency Regimes and the Carry Trade | en_GB |
dc.type | Article | en_GB |
dc.date.available | 2020-01-21T13:33:45Z | |
dc.identifier.issn | 0022-1090 | |
dc.description | This is the author accepted manuscript. The final version is available from Cambridge University Press via the DOI in this record | en_GB |
dc.identifier.journal | Journal of Financial and Quantitative Analysis | en_GB |
dc.rights.uri | http://www.rioxx.net/licenses/all-rights-reserved | en_GB |
dcterms.dateAccepted | 2019 | |
rioxxterms.version | AM | en_GB |
rioxxterms.licenseref.startdate | 2019-03-14 | |
rioxxterms.type | Journal Article/Review | en_GB |
refterms.dateFCD | 2020-01-21T13:30:20Z | |
refterms.versionFCD | AM | |
refterms.dateFOA | 2020-01-21T13:34:00Z | |
refterms.panel | C | en_GB |