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dc.contributor.author Burnside, C
dc.contributor.author Eichenbaum, M
dc.contributor.author Kleshchelski, I
dc.contributor.author Rebelo, S
dc.date.accessioned 2010-03-09T15:41:26Z
dc.date.issued 2011-03-01
dc.identifier.citation Review of Financial Studies, 2011, 24 (3), pp. 853 - 891
dc.identifier.issn 0893-9454
dc.identifier.uri http://hdl.handle.net/10161/2017
dc.description.abstract We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average large and uncorrelated with traditional risk factors. We argue that these payoffs reflect a peso problem. The underlying peso event features high values of the stochastic discount factor rather than very large negative payoffs. © 2010 The Author Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved.
dc.format.extent 853 - 891
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Review of Financial Studies
dc.relation.isversionof 10.1093/rfs/hhq138
dc.title Do peso problems explain the returns to the carry trade?
dc.type Journal Article
dc.department Economics
pubs.issue 3
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 24
dc.identifier.eissn 1465-7368

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