| 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.issn |
0893-9454 |
|
| dc.identifier.uri |
https://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.mimetype |
application/pdf |
|
| dc.language.iso |
en_US |
|
| dc.publisher |
Oxford University Press (OUP) |
|
| 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 |
|
| duke.contributor.id |
Burnside, C|0331721 |
|
| pubs.begin-page |
853 |
|
| pubs.end-page |
891 |
|
| pubs.issue |
3 |
|
| pubs.organisational-group |
Duke |
|
| pubs.organisational-group |
Economics |
|
| pubs.organisational-group |
Trinity College of Arts & Sciences |
|
| pubs.publication-status |
Published |
|
| pubs.volume |
24 |
|
| dc.identifier.eissn |
1465-7368 |
|
