English, Article, Journal or magazine article edition: Carry trade and return crash risk Mouhamadou Sy; Hamidreza Tabarraei

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/20173
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Carry trade and return crash risk
Author
  • Mouhamadou Sy
  • Hamidreza Tabarraei
Physical Description
  • preprint
Notes
  • A model is developed in order to show that in the carry trade market the Sharpe ratio can be affected by the number of traders and it has a concave form. Hence, the Sharpe ratio does not increase with the interest rate differential. However, high interest rate currencies have greater currency crash risk exposure. The exchange rate movement, when there is no currency crash, does not affect so much the profit due to the carry trade, but the total profit is very sensitive to the exchange rate fluctuation. Skewness and Kurtosis are computed for 9 currencies as indexes for currency crash risk and Sharpe ratio is calculated as a proxy for profitability. In the empirical part, the Sharpe ratio shows a concave form and the model predict this concavity too. The model captures the effect of number of arbitrageurs in the carry trade market on the profit. In the last section, the exchange rate risk premium in this market is computed.
  • RePEc:pse:psecon:2009-14
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • 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