Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation
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- Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
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Cited by:
- Egbers, Tom & Swinkels, Laurens, 2015. "Can implied volatility predict returns on the currency carry trade?," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 14-26.
- Potì, Valerio & Siddique, Akhtar, 2013. "What drives currency predictability?," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 86-106.
- Pedro Pires Ribeiro & José Dias Curto, 2018. "How do zero-coupon inflation swaps predict inflation rates in the euro area? Evidence of efficiency and accuracy on 1-year contracts," Empirical Economics, Springer, vol. 54(4), pages 1451-1475, June.
- Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981.
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More about this item
Keywords
Exchange rates; Uncovered interest parity; Risk-premia; Carry-trade; Economic value;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IFN-2010-03-20 (International Finance)
- NEP-UPT-2010-03-20 (Utility Models and Prospect Theory)
Statistics
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