IDEAS home Printed from https://ideas.repec.org/p/chb/bcchee/94.html
   My bibliography  Save this paper

Carry-To-Risk Ratio como medida de Carry Trade

Author

Listed:
  • Sergio A. Díaz
  • Paula A. González
  • Claudia A. Sotz

Abstract

Wide interest rate differentials between economies may generate attractive investment opportunities. However, these operations could cause major disruptions in foreign exchange markets, such as excessive volatility in the exchange rate due to overexposure to speculative flows. The investment strategy by which an agent takes advantage of interest rate differentials of two economies is known as carry trade. This strategy assumes the absence of uncovered parity. This document describes this investment strategy as well as a measure called carry-to-risk ratio that allows identifying opportunities in which this strategy is more attractive to investors. Finally, evidence is presented for the Chilean case, its implications for the formal exchange market (FEM) and the eventual impact in the movement of the Chilean peso.

Suggested Citation

  • Sergio A. Díaz & Paula A. González & Claudia A. Sotz, 2013. "Carry-To-Risk Ratio como medida de Carry Trade," Economic Statistics Series 94, Central Bank of Chile.
    • Handle: RePEc:chb:bcchee:94
    as

    Download full text from publisher

    File URL: https://si2.bcentral.cl/public/pdf/estudios-economicos-estadisticos/pdf/see94.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. José Carreño & Paulo Cox, 2014. "Carry Trade y Turbulencias Cambiarias con el Peso Chileno," Working Papers Central Bank of Chile 733, Central Bank of Chile.
    2. José Miguel Villena & José Manuel Salinas, 2014. "Mercado Cambiario Chileno, una Comparación Internacional: 1998 a 2013," Economic Statistics Series 106, Central Bank of Chile.
    3. Fredy Gamboa-Estrada, 2017. "Carry Trade Incentives and Turbulence in the Foreign Exchange Market in Colombia," Manchester School, University of Manchester, vol. 85, pages 57-78, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chb:bcchee:94. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alvaro Castillo (email available below). General contact details of provider: https://edirc.repec.org/data/bccgvcl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.