套息交易的统计分析

Siro Fritzmann, David Jaggi, Joerg Osterrieder
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摘要

套息交易是最流行的货币交易策略之一。本文的目的是通过利用G10货币交叉利率和3个月Libor利率,应用和分析Baz等人(2015)中描述的方法。套息交易策略被多种类型的市场参与者充分记录并广泛使用。第一步,使用基于瑞郎/美元货币对生成的数据对策略进行测试,并对利差信号进行分析。第二步,将该策略应用于一篮子45对货币,包括十国集团(G10)货币之间所有可能的组合。结果表明,如果在合适的市场条件下进行套利交易,即稳定的利率和交易货币交叉汇率的升值,套利交易是有利可图的。德意志银行货币收获指数(Deutsche Bank Currency Harvest Index)是套息交易策略的类似实施,在分析的时间段内优于Baz等人(2015)的方法。
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A Statistical Analysis of Carry Trading
Carry trading is one of the most popular currency trading strategies. The aim of this paper is to apply and analyze the approach described in Baz et al. (2015) by utilizing the G10 currency cross rates and the 3-month Libor rates. The carry trading strategy is well documented and widely used by several types of market participants. In a first step, the strategy is tested with generated data based on the CHF/USD currency pair and the carry signal is being analyzed. In a second step, the strategy was applied to a basket of 45 currency pairs consisting of all the possible combinations between the G10 currencies. The outcome shows that carry trading can be protable if traded under the right market conditions, which are stable interest rates and an appreciation of the traded currency cross rate. The Deutsche Bank Currency Harvest Index, which is a similar implementation of a carry trading strategy outbids the approach by Baz et al. (2015) for the analyzed time period.
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