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    • Do peso problems explain the returns to the carry trade? 

      Burnside, C; Eichenbaum, M; Kleshchelski, I; Rebelo, S (Review of Financial Studies, 2011-03-01)
      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 ...