Carry Trade and Momentum in Currency Markets-Reference-Cited by-同舟云学术

Carry Trade and Momentum in Currency Markets

Published:2011-12-01 Issue:1 Volume:3 Page:511-535
ISSN:1941-1367
Container-title:Annual Review of Financial Economics
language:en
Short-container-title:Annu. Rev. Financ. Econ.

Author:

Burnside Craig¹²,Eichenbaum Martin²³⁴,Rebelo Sergio²³⁵

Affiliation:

1. Department of Economics, Duke University, Durham, North Carolina 27708-0097;

2. National Bureau of Economic Research, Cambridge, Massachusetts 02138

3. Department of Economics, Kellogg School of Management, Northwestern University, Evanston, Illinois 60208-2600;,

4. Federal Reserve Bank of Chicago, Chicago, Illinois 60604

5. Center for Economic Policy Research, London, EC1V 3PZ, United Kingdom.

Abstract

We examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are being compensated for bearing risk. The second is that these strategies are vulnerable to rare disasters or peso problems. The third is that there is price pressure in currency markets.

Publisher

Annual Reviews

Subject

Economics and Econometrics,Finance

Link

https://www.annualreviews.org/doi/pdf/10.1146/annurev-financial-102710-144913

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