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The Carry Trade: Risks and Drawdowns

Citations

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Cited by:

  1. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
  2. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
  3. Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
  4. Lee, Suzanne S. & Wang, Minho, 2019. "The impact of jumps on carry trade returns," Journal of Financial Economics, Elsevier, vol. 131(2), pages 433-455.
  5. Orlov, Vitaly, 2019. "Solvency risk premia and the carry trades," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 50-67.
  6. Choi, Jiyoon, 2026. "Factor timing in currency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 110(C).
  7. Choi, Jin Ho & Suh, Sangwon, 2022. "Conditionally-hedged currency carry trades," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  8. Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2021. "To hedge or not to hedge: Carry trade dynamics in the emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  9. Burnside, Craig & Cerrato, Mario & Zhang, Zhekai, 2025. "Foreign Exchange Order Flow as a Risk Factor," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 60(5), pages 2555-2582, August.
  10. Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020. "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, vol. 138(1), pages 95-117.
  11. Palwishah, Rana & Kashif, Muhammad & Rehman, Mobeen Ur & Al-Faryan, Mamdouh Abdulaziz Saleh, 2024. "Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 91(C).
  12. Lee, Suzanne S. & Wang, Minho, 2020. "Tales of tails: Jumps in currency markets," Journal of Financial Markets, Elsevier, vol. 48(C).
  13. Kharrat, Sabrine & Hammami, Yacine & Fatnassi, Ibrahim, 2020. "On the cross-sectional relation between exchange rates and future fundamentals," Economic Modelling, Elsevier, vol. 89(C), pages 484-501.
  14. Gurdip Bakshi & Xiaohui Gao & George Panayotov, 2021. "A Theory of Dissimilarity Between Stochastic Discount Factors," Management Science, INFORMS, vol. 67(7), pages 4602-4622, July.
  15. Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  16. Michael Melvin & Duncan Shand, 2017. "When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds," Financial Analysts Journal, Taylor & Francis Journals, vol. 73(1), pages 121-144, January.
  17. Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
  18. Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
  19. Filipe, Sara Ferreira & Nissinen, Juuso & Suominen, Matti, 2023. "Currency carry trades and global funding risk," Journal of Banking & Finance, Elsevier, vol. 149(C).
  20. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
  21. Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun, 2017. "Foreign exchange predictability and the carry trade: A decomposition approach," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 199-211.
  22. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
  23. Ian Hudson, 2016. "The Currency Carry Trade: Selection Skill or Behavioral Bias," International Business Research, Canadian Center of Science and Education, vol. 9(9), pages 176-185, September.
  24. Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2015. "Carry and Trend Following Returns in the Foreign Exchange Market," Discussion Papers 15/07, Department of Economics, University of York.
  25. Stocker, Marshall L., 2016. "The price of freedom: Idiosyncratic currency devaluations," Research in International Business and Finance, Elsevier, vol. 38(C), pages 312-325.
  26. Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
  27. Bekaert, Geert & Panayotov, George, 2020. "Good Carry, Bad Carry," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(4), pages 1063-1094, June.
  28. Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
  29. Dupuy, Philippe, 2021. "Risk-adjusted return managed carry trade," Journal of Banking & Finance, Elsevier, vol. 129(C).
  30. Jamali, Ibrahim & Yamani, Ehab, 2019. "Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 241-263.
  31. Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
  32. Hui, Cho-Hoi & Lo, Chi-Fai & Liu, Chi-Hei, 2022. "Exchange rate dynamics with crash risk and interventions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 18-37.
  33. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
  34. Azzam, Islam & El-Masry, Ahmed A. & Yamani, Ehab, 2023. "Foreign exchange market efficiency during COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 717-730.
  35. Michael D. Goldberg & Olesia Kozlova & Deniz Ozabaci, 2020. "Forward Rate Bias in Developed and Developing Countries: More Risky Not Less Rational," Econometrics, MDPI, vol. 8(4), pages 1-26, December.
  36. Michael Melvin & Frank Westermann, 2022. "Chinese Exchange Rate Policy: Lessons for Global Investors," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 145-168, February.
  37. Lehkonen, Heikki & Heimonen, Kari & Pukthuanthong, Kuntara, 2025. "Media tone is a priced risk factor in currency markets," Journal of Banking & Finance, Elsevier, vol. 180(C).
  38. Lee, Namhoon & Choi, Wonseok & Pae, Yuntaek, 2021. "Market efficiency in foreign exchange market," Economics Letters, Elsevier, vol. 205(C).
  39. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
  40. Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
  41. Christopher Balding & Andros Gregoriou & Domenico Tarzia & Xiao Zhang, 2024. "Carry Trade Dynamics Under Capital Controls: The Case of China," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 1065-1085, December.
  42. Berg, Kimberly A. & Mark, Nelson C., 2018. "Global macro risks in currency excess returns," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 300-315.
  43. Jiadong Tong & Zijun Wang & Jian Yang, 2016. "Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(7), pages 695-718, July.
  44. Filippou, Ilias & Maurer, Thomas A. & Pezzo, Luca & Taylor, Mark P., 2024. "Importance of transaction costs for asset allocation in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 159(C).
  45. Dupuy, Philippe & James, Jessica & Marsh, Ian W., 2021. "Attractive and non-attractive currencies," Journal of International Money and Finance, Elsevier, vol. 110(C).
  46. Fan, Zhenzhen & Paseka, Alexander & Qi, Zhen & Zhang, Qi, 2022. "Currency carry trade: The decline in performance after the 2008 Global Financial Crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
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