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What can the data tell us about carry trades in Japanese yen?

Citations

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Cited by:

  1. Kaizoji, Taisei, 2010. "Carry Trade, Forward Premium Puzzle and Currency Crisis," MPRA Paper 21432, University Library of Munich, Germany.
  2. Darvas, Zsolt, 2009. "Leveraged carry trade portfolios," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 944-957, May.
  3. Shehadeh, Ali A. & Li, Youwei & Vigne, Samuel A. & Almaharmeh, Mohammad I. & Wang, Yizhi, 2021. "The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies," International Review of Financial Analysis, Elsevier, vol. 78(C).
  4. Liu, Ming-Hua & Margaritis, Dimitris & Tourani-Rad, Alireza, 2012. "Risk appetite, carry trade and exchange rates," Global Finance Journal, Elsevier, vol. 23(1), pages 48-63.
  5. Hutchison, Michael & Sushko, Vladyslav, 2013. "Impact of macro-economic surprises on carry trade activity," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1133-1147.
  6. Orlov, Vitaly & Äijö, Janne, 2015. "Benefits of wavelet-based carry trade diversification," Research in International Business and Finance, Elsevier, vol. 34(C), pages 17-32.
  7. Tobias Adrian & Erkko Etula & Hyun Song Shin, 2009. "Risk appetite and exchange Rates," Staff Reports 361, Federal Reserve Bank of New York.
  8. Fong, Wai Mun, 2013. "Footprints in the market: Hedge funds and the carry trade," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 41-59.
  9. repec:rza:wpaper:235 is not listed on IDEAS
  10. Zuzana Stuchlíková, 2013. "Japanese Economy in 2007-2010 [Japonská ekonomika v letech 2007-2010]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2013(2), pages 55-68.
  11. Marie Briere & Bastien Drut, 2009. "The Revenge of Purchasing Power Parity on Carry Trades during Crises," Working Papers CEB 09-013.RS, ULB -- Universite Libre de Bruxelles.
  12. Bruno Freitas Boynard de Vasconcelos & Benjamin Miranda Tabak, 2014. "Banking Systemic Risk, Foreign Funding, Exchange Rate Exposure and Carry Trade: is there a relation?," Working Papers Series 365, Central Bank of Brazil, Research Department.
  13. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009. "Carry Trades and Currency Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 313-347, National Bureau of Economic Research, Inc.
  14. Vistesen, Claus, 2008. "Of Low Yielders and Carry Trading – the JPY and CHF as Market Risk Sentiment Gauges," MPRA Paper 9952, University Library of Munich, Germany.
  15. Zuzana Stuchlíková, 2013. "Japanese Economy After the Great East Japan Earthquake in 2011 [Dopady zemětřesení v roce 2011 na japonskou ekonomiku]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2013(3), pages 51-67.
  16. Cook, David, 2009. "The puzzling dual of the uncovered interest parity puzzle evidence from Pacific Rim capital flows," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 449-456, June.
  17. Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011. "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(4), pages 1107-1125, August.
  18. Nirei, Makoto & Sushko, Vladyslav, 2011. "Jumps in foreign exchange rates and stochastic unwinding of carry trades," International Review of Economics & Finance, Elsevier, vol. 20(1), pages 110-127, January.
  19. Corinne Winters, 2008. "The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen," Discussion Papers 08-2, Bank of Canada.
  20. Cho-Hoi Hui & Hans Genberg & Tsz-Kin Chung, 2009. "Liquidity, Risk Appetite and Exchange Rate Movements During the Financial Crisis of 2007-2009," Working Papers 0911, Hong Kong Monetary Authority.
  21. Angelo Ranaldo & Paul Söderlind, 2010. "Safe Haven Currencies," Review of Finance, European Finance Association, vol. 14(3), pages 385-407.
  22. Claus VISTESEN, 2009. "Carry Trade Fundamentals And The Financial Crisis 2007-2010," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(2(8)_ Sum).
  23. Ziyun Zhang & Sen Guo, 2021. "What Factors Affect the RMB Carry Trade Return for Sustainability? An Empirical Analysis by Using an ARDL Model," Sustainability, MDPI, vol. 13(24), pages 1-19, December.
  24. Fong, Wai Mun, 2010. "A stochastic dominance analysis of yen carry trades," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1237-1246, June.
  25. Coudert, Virginie & Mignon, Valérie, 2013. "The “forward premium puzzle” and the sovereign default risk," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 491-511.
  26. Ramos, R. A., 2017. "Financialization at the international level: evidence from emerging market economies," Revista Economia e Sociedade, Instituto de Economia, Universidade Estadual de Campinas (UNICAMP), vol. 26, December.
  27. Aydanur GACENER-ATIŞ & Deniz ERER, 2019. "Effects of Capital Flows on Carry Trade Activities: The Case of TurkeyAbstract: Carry trade is described as the capital flow coming into a country based on interest rate differential. A negative change in capital flow affects carry trade activities n," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(42).
  28. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
  29. Hossfeld, Oliver & MacDonald, Ronald, 2015. "Carry funding and safe haven currencies: A threshold regression approach," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 185-202.
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