English, Article, Journal or magazine article edition: The Time-Varying Systematic Risk of Carry Trade Strategies Paul Söderllind; Paul Soderlind; Angelo Ranaldo; ...

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/148236
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Time-Varying Systematic Risk of Carry Trade Strategies
Author
  • Paul Söderllind
  • Paul Soderlind
  • Angelo Ranaldo
  • Charlotte Christiansen
Physical Description
  • preprint
Notes
  • To capture time-variation in the risk exposure of exchange rates, this paper suggests a factor model with stock and bond markets as the explana- tory factors- but where the betas are allowed to depend on the exchange rate volatility. Empirical results on daily data from 1995 to 2008 show that a typical carry trade strategy based on 10 currencies from major industrialized countries has much higher exposure to the stock market and also more mean reversion in volatile periods. The findings are robust to various extensions, including adding more currencies and other regime variables.
  • RePEc:aah:create:2009-15
  • This paper suggests a factor model for carry trade strategies where the regression coefficients are allowed to depend on market volatility and liquidity. Empirical results on daily data from 1995 to 2008 show that a typical carry trade strategy has much higher exposure to the stock market and also more mean reversion in volatile periods - and that FX market volatility is a priced risk factor. The findings are robust to various extensions, including using more currencies and other proxies for volatility and liquidity (VIX, TED and a bid-ask spread).
  • carry trade, factor model, smooth transition regression, time-varying betas
  • RePEc:usg:dp2009:2009-06
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment