Determinants of carry trades in Central and Eastern Europe
The article shows that carry trades to Central and Eastern Europe (CEE) were lucrative during the boom period 2004--2006 when interest rate spreads between the funding and investment currencies were high. In contrast, when liquidity risk and exchange rate volatility increased after 2007, carry trades were unprofitable. The analysis further suggests that there is a link between the exchange rate regime and carry trade returns. Overall, exchange rate stabilization, particularly via managed floats, seems to go along with the highest profit opportunities.
Volume (Year): 22 (2012)
Issue (Month): 18 (September)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andreas Hoffmann, 2010.
"An Overinvestment Cycle In Central And Eastern Europe?,"
Wiley Blackwell, vol. 61(4), pages 711-734, November.
- Hoffmann, Andreas, 2009. "An Overinvestment Cycle in Central and Eastern Europe?," MPRA Paper 15668, University Library of Munich, Germany.
- Andreas Hoffmann & Gunther Schnabl, 2011.
"A Vicious Cycle of Manias, Crises and Asymmetric Policy Responses – An Overinvestment View,"
The World Economy,
Wiley Blackwell, vol. 34(3), pages 382-403, 03.
- Hoffmann, Andreas & Schnabl, Gunther, 2009. "A Vicious Cycle of Manias, Crashes and Asymmetric Policy Responses - An Overinvestment View," MPRA Paper 18532, University Library of Munich, Germany.
- Andreas Hoffmann & Gunther Schnabl, 2009. "A Vicious Cycle of Manias, Crashes and Asymmetric Policy Responses - An Overinvestment View," CESifo Working Paper Series 2855, CESifo Group Munich.
- Eling, Martin & Schuhmacher, Frank, 2007. "Does the choice of performance measure influence the evaluation of hedge funds?," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2632-2647, September.
- Paul Grauwe & Gunther Schnabl, 2004. "EMU entry strategies for the new member states," Intereconomics: Review of European Economic Policy, Springer, vol. 39(5), pages 241-246, September.
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:18:p:1479-1490. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.