Arbeitspapier
Leveraged Carry Trade Portfolios
Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the hypothesis of uncovered interest rate parity. We explain these findings with the leveraged nature of carry trade: leverage may increase profitability but it materially increases downside risk. We argue that market inefficiency is related to the level of leverage.
- ISBN
-
978-963-9796-40-9
- Sprache
-
Englisch
- Erschienen in
-
Series: IEHAS Discussion Papers ; No. MT-DP - 2008/22
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Foreign Exchange
Portfolio Choice; Investment Decisions
International Financial Markets
- Thema
-
Bootstrap
Currency market
Diversification
Leverage
Uncovered interest rate parity
Devisenmarkt
Währungsspekulation
Devisenmarkt
Zinsparität
Portfolio-Management
Bootstrap-Verfahren
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Darvas, Zsolt
- Ereignis
-
Veröffentlichung
- (wer)
-
Hungarian Academy of Sciences, Institute of Economics
- (wo)
-
Budapest
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Darvas, Zsolt
- Hungarian Academy of Sciences, Institute of Economics
Entstanden
- 2008
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