Carry Trades and Monetary Conditions

A. Falconio
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引用次数: 1

Abstract

This paper investigates the relation between monetary conditions and the excess returns arising from an investment strategy that con- sists of borrowing low-interest rate currencies and investing in currencies with high interest rates, so-called "carry trade". The results indicate that carry trade average excess return, Sharpe ratio and 5% quantile differ substantially across expansive and restrictive conventional mone- tary policy before the onset of the recent financial crisis. By contrast, the considered parameters are not affected by unconventional monetary policy during the financial crisis. JEL Classification: F31, G15, E52
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套息交易与货币状况
本文研究了一种由借入低利率货币和投资高利率货币组成的投资策略,即所谓的“套息交易”所产生的超额收益与货币条件之间的关系。结果表明,在金融危机爆发前,扩张性和限制性常规货币政策下,套利交易的平均超额收益率、夏普比率和5%分位数存在显著差异。相比之下,所考虑的参数不受金融危机期间非常规货币政策的影响。JEL分类:F31、G15、E52
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