Carry Trade and Momentum in Currency Markets
AbstractWe examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are being compensated for bearing risk. The second is that these strategies are vulnerable to rare disasters or peso problems. The third is that there is price pressure in currency markets.
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Bibliographic InfoArticle provided by Annual Reviews in its journal Annual Review of Financial Economics.
Volume (Year): 3 (2011)
Issue (Month): 1 (December)
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Other versions of this item:
- Craig Burnside & Martin S. Eichenbaum & Sergio Rebelo, 2011. "Carry Trade and Momentum in Currency Markets," NBER Working Papers 16942, National Bureau of Economic Research, Inc.
- Burnside, Craig & Eichenbaum, Martin & Rebelo, Sérgio, 2011. "Carry Trade and Momentum in Currency Markets," CEPR Discussion Papers 8343, C.E.P.R. Discussion Papers.
- F31 - International Economics - - International Finance - - - Foreign Exchange
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