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Evidence of carry trade activity

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  • Gabriele Galati
  • Alexandra Heath
  • Patrick McGuire

Abstract

Interest rate differentials have been a driving force behind exchange rate movements in recent years. This has focused market attention on the role of currency carry trade positions, and on the possibility that a sudden unwinding might adversely affect financial stability. However, carry trades are notoriously difficult to track in the available data. This special feature first outlines the investor base and trading strategies used in carry trades, and then explores various sources of data to gauge activity.

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Bibliographic Info

Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2007)
Issue (Month): (September)
Pages:

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Handle: RePEc:bis:bisqtr:0709e

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  1. Thomas Klitgaard & Laura Weir, 2004. "Exchange rate changes and net positions of speculators in the futures market," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 17-28.
  2. John Cairns & Corrinne Ho & Robert McCauley, 2007. "Exchange rates and global volatility: implications for Asia-Pacific currencies," BIS Quarterly Review, Bank for International Settlements, March.
  3. Patrick McGuire & Nikola Tarashev, 2006. "Tracking international bank flows," BIS Quarterly Review, Bank for International Settlements, December.
  4. Cai, Jun & Cheung, Yan-Leung & Lee, Raymond S. K. & Melvin, Michael, 2001. "'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 327-347, June.
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