Now showing items 1-2 of 2

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

      Burnside, A Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio T (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 ...
    • The Returns to Currency Speculation 

      Burnside, A Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio T (2006)
      Currencies that are at a forward premium tend to depreciate. This `forward-premium puzzle` represents an egregious deviation from uncovered interest parity. We document the properties of returns to currency speculation strategies ...