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Carry Trades and Currency Crashes

Citations

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Cited by:

  1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
  2. Melvin, Michael & Taylor, Mark P., 2009. "The crisis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1317-1330, December.
  3. Frankel, Jeffrey & Poonawala, Jumana, 2010. "The forward market in emerging currencies: Less biased than in major currencies," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 585-598, April.
  4. Stillwagon, Josh R., 2016. "Non-linear exchange rate relationships: An automated model selection approach with indicator saturation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 84-109.
  5. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011. "Spot and forward volatility in foreign exchange," Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.
  6. Fredy Gamboa-Estrada, 2016. "Carry Trade y Depreciaciones Bruscas del Tipo de Cambio en Colombia," Borradores de Economia 957, Banco de la Republica de Colombia.
  7. Wenna Lu & Laurence Copeland & Yongdeng Xu, 2023. "The pricing of unexpected volatility in the currency market," The European Journal of Finance, Taylor & Francis Journals, vol. 29(17), pages 2032-2046, November.
  8. Butt, Hilal Anwar & Virk, Nader Shahzad, 2019. "Market downturns, zero investment strategies and systematic liquidity risk," Finance Research Letters, Elsevier, vol. 28(C), pages 246-253.
  9. De Bock, Reinout & de Carvalho Filho, Irineu, 2015. "The behavior of currencies during risk-off episodes," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 218-234.
  10. Iseringhausen, Martin, 2020. "The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 275-292.
  11. Bekkour, Lamia & Jin, Xisong & Lehnert, Thorsten & Rasmouki, Fanou & Wolff, Christian, 2015. "Euro at risk: The impact of member countries' credit risk on the stability of the common currency," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 67-83.
  12. Lothian, James R., 2016. "Uncovered interest parity: The long and the short of it," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 1-7.
  13. Beber, Alessandro & Brandt, Michael, 2014. "Switching Risk Off: FX Correlations and Risk Premia," CEPR Discussion Papers 10214, C.E.P.R. Discussion Papers.
  14. 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.
  15. Curcuru, Stephanie E. & Thomas, Charles P. & Warnock, Francis E. & Wongswan, Jon, 2014. "Uncovered Equity Parity and rebalancing in international portfolios," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 86-99.
  16. Lasse Pedersen, 2009. "When Everyone Runs for the Exit," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December.
  17. Lloyd, S. P. & Marin, E. A., 2019. "Exchange Rate Risk and Business Cycles," Cambridge Working Papers in Economics 1996, Faculty of Economics, University of Cambridge.
  18. 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.
  19. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
  20. Chiara Banti, 2016. "Illiquidity In The Stock And Foreign Exchange Markets: An Investigation Of Their Cross-Market Dynamics," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(4), pages 411-436, December.
  21. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
  22. Matthias Huss & Heinz Zimmermann, 2018. "The Pricing of Liquidity Risk in Buyout Funds – A Public Market Perspective," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 70(3), pages 285-312, July.
  23. Mario Cerrato & Zhekai Zhang, 2019. "Can we predict currency momentum crashes?," Working Papers 2019_12, Business School - Economics, University of Glasgow.
  24. Ivelina Pavlova & Maria E. de Boyrie, 2015. "Carry Trades and Sovereign CDS Spreads: Evidence from Asia‐Pacific Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1067-1087, November.
  25. Copeland, Laurence & Lu, Wenna, 2016. "Dodging the steamroller: Fundamentals versus the carry trade," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 115-131.
  26. Rongju Zhang & Mark Aarons & Gregoire Loeper, 2019. "Optimal FX Hedge Tenor with Liquidity Risk," Papers 1903.06346, arXiv.org.
  27. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
  28. 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.
  29. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
  30. Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
  31. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," Journal of Financial Economics, Elsevier, vol. 126(2), pages 270-299.
  32. Engel, Charles & Bianchi, Javier & Bigio, Saki, 2021. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," CEPR Discussion Papers 16712, C.E.P.R. Discussion Papers.
  33. Malamud, Semyon & Schrimpf, Paul, 2018. "An Intermediation-Based Model of Exchange Rates," CEPR Discussion Papers 13182, C.E.P.R. Discussion Papers.
  34. Kevin Gallagher, 2011. "Regaining Control? Capital Controls and the Global Financial Crisis," Working Papers wp250, Political Economy Research Institute, University of Massachusetts at Amherst.
  35. Vikram Kumar, 2014. "Anticipated Liquidity Shock and Financial Market Equilibrium," Working Papers 14-08, Davidson College, Department of Economics.
  36. 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.
  37. M. Utku Ozmen & Erdal Yilmaz, 2016. "Co-movement of Exchange Rates with Interest Rate Differential, Risk Premium and FED Policy in �Fragile Economies�," Working Papers 1621, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  38. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1253-1274.
  39. 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).
  40. Kaizoji, Taisei, 2010. "Carry Trade, Forward Premium Puzzle and Currency Crisis," MPRA Paper 21432, University Library of Munich, Germany.
  41. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
  42. Chen, Catherine Huirong & Choy, Siu Kai & Tan, Yongxian, 2022. "The cash conversion cycle spread: International evidence," Journal of Banking & Finance, Elsevier, vol. 140(C).
  43. Angelo Ranaldo & Paul Söderlind, 2010. "Safe Haven Currencies," Review of Finance, European Finance Association, vol. 14(3), pages 385-407.
  44. Koijen, Ralph S.J. & Moskowitz, Tobias J. & Pedersen, Lasse Heje & Vrugt, Evert B., 2018. "Carry," Journal of Financial Economics, Elsevier, vol. 127(2), pages 197-225.
    • Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013. "Carry," NBER Working Papers 19325, National Bureau of Economic Research, Inc.
    • Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
  45. Mario Cerrato & Danyang Li & Zhekai Zhang, 2020. "Factor Investing and forex Portfolio Management," Working Papers 2020_01, Business School - Economics, University of Glasgow.
  46. Jacob Gyntelberg & Andreas Schrimpf, 2011. "FX strategies in periods of distress," BIS Quarterly Review, Bank for International Settlements, December.
  47. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
  48. Cho-Hoi Hui & Tsz-Kin Chung, 2010. "The Risk of Sudden Depreciation of the Euro in the Sovereign Debt Crisis of 2009-2010," Working Papers 252010, Hong Kong Institute for Monetary Research.
  49. Craig Burnside & Bing Han & David Hirshleifer & Tracy Yue Wang, 2011. "Investor Overconfidence and the Forward Premium Puzzle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(2), pages 523-558.
  50. Hambuckers, J. & Ulm, M., 2023. "On the role of interest rate differentials in the dynamic asymmetry of exchange rates," Economic Modelling, Elsevier, vol. 129(C).
  51. Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  52. Marius del Giudice Rodriguez & Thomas Wu, 2013. "The Effect of Capital Controls and Prudential FX Measures on Options-Implied Exchange Rate Stability," Working Paper Series 2013-20, Federal Reserve Bank of San Francisco.
  53. Pasquale Della Corte & Steven J. Riddiough & Lucio Sarno, 2016. "Currency Premia and Global Imbalances," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2161-2193.
  54. 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.
  55. Daude, Christian & Levy Yeyati, Eduardo & Nagengast, Arne J., 2016. "On the effectiveness of exchange rate interventions in emerging markets," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 239-261.
  56. Redl, Chris, 2015. "Noisy news and exchange rates: A SVAR approach," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 150-171.
  57. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
  58. Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
  59. Liu, Tao, 2014. "The onshore-offshore interaction of RMB market: a high-frequency analysis," MPRA Paper 63905, University Library of Munich, Germany.
  60. Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  61. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2018. "Common information in carry trade risk factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 37-47.
  62. Tarek A. Hassan, 2013. "Country Size, Currency Unions, and International Asset Returns," Journal of Finance, American Finance Association, vol. 68(6), pages 2269-2308, December.
  63. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
  64. Ostry, D. A., 2023. "Tails of Foreign Exchange-at-Risk (FEaR)," Janeway Institute Working Papers 2311, Faculty of Economics, University of Cambridge.
  65. Mr. Tobias Adrian & Peichu Xie, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," IMF Working Papers 2020/101, International Monetary Fund.
  66. Vitale, Paolo & Rime, Dagfinn & Breedon, Francis, 2010. "A Transaction Data Study of the Forward Bias Puzzle," CEPR Discussion Papers 7791, C.E.P.R. Discussion Papers.
  67. Goldberg, Linda S. & Krogstrup, Signe, 2023. "International capital flow pressures and global factors," Journal of International Economics, Elsevier, vol. 146(C).
  68. Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin, 2017. "The Carry Trade: Risks and Drawdowns," Critical Finance Review, now publishers, vol. 6(2), pages 211-262, September.
  69. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
  70. Hossfeld, Oliver & Pramor, Marcus, 2018. "Global liquidity and exchange market pressure in emerging market economies," Discussion Papers 05/2018, Deutsche Bundesbank.
  71. Victoria Dobrynskaya, 2011. "Downside risk and flight to quality in the currency market," Working Papers 2011.5, International Network for Economic Research - INFER.
  72. Cosmin Ilut, 2012. "Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(3), pages 33-65, July.
  73. Nicolas E. Magud & Carmen M. Reinhart & Esteban R. Vesperoni, 2014. "Capital Inflows, Exchange Rate Flexibility and Credit Booms," Review of Development Economics, Wiley Blackwell, vol. 18(3), pages 415-430, August.
  74. Liang Ding & Qianyi Yang, 2018. "Asymmetric impact of monetary surprises on exchange rate," Applied Economics, Taylor & Francis Journals, vol. 50(7), pages 789-803, February.
  75. Cavallino, Paolo & Sandri, Damiano, 2023. "The open-economy ELB: Contractionary monetary easing and the trilemma," Journal of International Economics, Elsevier, vol. 140(C).
  76. Essers, Dennis & Cassimon, Danny, 2012. "Washing away original sin: vulnerability to crisis and the role of local currency bonds in Sub-Saharan Africa," IOB Working Papers 2012.12, Universiteit Antwerpen, Institute of Development Policy (IOB).
  77. Michael Funke & Julius Loermann & Richhild Moessner, 2017. "The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?," BIS Working Papers 652, Bank for International Settlements.
  78. Cho, Dooyeon, 2015. "The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 229-238.
  79. 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).
  80. Makhanya, Kabelo Collen & Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2023. "Examining the dependence structure between carry trade and equity market returns in BRICS countries," MPRA Paper 117461, University Library of Munich, Germany.
  81. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
  82. Rosen Valchev, 2020. "Bond Convenience Yields and Exchange Rate Dynamics," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 124-166, April.
  83. Yiuman Tse & John K. Wald, 2013. "Insured Uncovered Interest Parity," Working Papers 0172fin, College of Business, University of Texas at San Antonio.
  84. Daniel, Kent & Moskowitz, Tobias J., 2016. "Momentum crashes," Journal of Financial Economics, Elsevier, vol. 122(2), pages 221-247.
  85. Vandna Jowaheer & Nafeessah Z. B. Ameerudden, 2012. "Modelling the Dependence Structure of MUR/USD and MUR/INR Exchange Rates using Copula," International Journal of Economics and Financial Issues, Econjournals, vol. 2(1), pages 27-32.
  86. Liu, Chih-Liang & Yang, Hsin-Feng, 2017. "Systemic risk in carry-trade portfolios," Finance Research Letters, Elsevier, vol. 20(C), pages 40-46.
  87. Michael E Araki & Marcelo Cabus Klotzle & Antonio C. F. Pinto, 2018. "Carry trades and economic policy uncertainty: measuring the political dimension of the forward rate bias in emerging countries," Economics Bulletin, AccessEcon, vol. 38(3), pages 1476-1484.
  88. Kinkyo, Takuji, 2020. "Volatility interdependence on foreign exchange markets: The contribution of cross-rates," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  89. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  90. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
  91. Puriya Abbassi & Falk Bräuning, 2018. "The pricing of FX forward contracts: micro evidence from banks’ dollar hedging," Working Papers 18-6, Federal Reserve Bank of Boston.
  92. Petri Jylhä & Kalle Rinne & Matti Suominen, 2014. "Do Hedge Funds Supply or Demand Liquidity?," Review of Finance, European Finance Association, vol. 18(4), pages 1259-1298.
  93. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
  94. Ahmed, Jameel & Straetmans, Stefan, 2015. "Predicting exchange rate cycles utilizing risk factors," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 112-130.
  95. Thomas Goda & Jan Priewe, 2020. "Determinants of real exchange rate movements in 15 emerging market economies," Brazilian Journal of Political Economy, Center of Political Economy, vol. 40(2), pages 214-237.
  96. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
  97. Krassimira Naydenova, 2018. "Built-In Problems in the New European Regulations for the Bulgarian Capital Market," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 106-134.
  98. Philippe Mueller & Alireza Tahbaz-Salehi & Andrea Vedolin, 2017. "Exchange Rates and Monetary Policy Uncertainty," Journal of Finance, American Finance Association, vol. 72(3), pages 1213-1252, June.
  99. Oscar Jorda, "undated". "Carry Trade," Working Papers 1018, University of California, Davis, Department of Economics.
  100. Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 453-522, Elsevier.
  101. Chanelle Duley & Prasanna Gai, 2020. "When the penny doesn't drop - Macroeconomic tail risk and currency crises," National Institute of Economic and Social Research (NIESR) Discussion Papers 520, National Institute of Economic and Social Research.
  102. 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.).
  103. Sager, Michael & Taylor, Mark P., 2014. "Generating currency trading rules from the term structure of forward foreign exchange premia," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 230-250.
  104. Momtchil Pojarliev & Richard M. Levich, 2010. "Detecting Crowded Trades in Currency Funds," NBER Working Papers 15698, National Bureau of Economic Research, Inc.
  105. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
  106. 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.
  107. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2014. "Quantifying Informational Linkages in a Global Model of Currency Spot Markets," Melbourne Institute Working Paper Series wp2014n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  108. Shrestha, Prakash Kumar, 2013. "Banking Ssystems, central banks and international reserve accumulation in East Asian economies," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 7, pages 1-29.
  109. Chan, Kalok & Yang, Jian & Zhou, Yinggang, 2018. "Conditional co-skewness and safe-haven currencies: A regime switching approach," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 58-80.
  110. Laborda, Juan & Laborda, Ricardo & Olmo, Jose, 2014. "Optimal currency carry trade strategies," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 52-66.
  111. 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.
  112. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.
  113. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
  114. Broll, Michael, 2016. "The skewness risk premium in currency markets," Economic Modelling, Elsevier, vol. 58(C), pages 494-511.
  115. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
  116. Bonnier, Jean-Baptiste, 2021. "Speculation and informational efficiency in commodity futures markets," Journal of International Money and Finance, Elsevier, vol. 117(C).
  117. Seungduck Lee & Kuk Mo Jung, 2019. "A Liquidity-Based Resolution of the Uncovered Interest Parity Puzzle," Working Papers 1902, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
  118. Sakemoto, Ryuta, 2018. "Do precious and industrial metals act as hedges and safe havens for currency portfolios?," Finance Research Letters, Elsevier, vol. 24(C), pages 256-262.
  119. repec:beo:journl:v:62:y:2018:i:216:p:35-62 is not listed on IDEAS
  120. Bevilacqua, Mattia & Morelli, David & Tunaru, Radu, 2019. "The determinants of the model-free positive and negative volatilities," Journal of International Money and Finance, Elsevier, vol. 92(C), pages 1-24.
  121. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
  122. Lorenzo Reus & Guillermo Alexander Sepúlveda-Hurtado, 2023. "Foreign exchange trading and management with the stochastic dual dynamic programming method," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-38, December.
  123. Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2016. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," Research Papers 3411, Stanford University, Graduate School of Business.
  124. Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Econometrics, MDPI, vol. 5(3), pages 1-20, July.
  125. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
  126. Kumar, Vikram, 2020. "Liquidity shocks: A new solution to the forward premium puzzle," Economic Modelling, Elsevier, vol. 91(C), pages 445-454.
  127. Gnabo, Jean-Yves & Hvozdyk, Lyudmyla & Lahaye, Jérôme, 2014. "System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 147-174.
  128. Bošnjak Mile & Novak Ivan & Vlajčić Davor, 2021. "Market Efficiency of Euro Exchange Rates and Trading Strategies," Naše gospodarstvo/Our economy, Sciendo, vol. 67(2), pages 10-19, June.
  129. Yin, Libo & Su, Zhi & Lu, Man, 2022. "Is oil risk important for commodity-related currency returns?," Research in International Business and Finance, Elsevier, vol. 60(C).
  130. Daniela Gabor, 2011. "Paradigm shift? A critique of the IMF’s new approach to capital controls," Working Papers 1109, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  131. Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias, 2014. "Foreign exchange risk and the predictability of carry trade returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 302-313.
  132. Tachibana, Minoru, 2018. "Safe-haven and hedge currencies for the US, UK, and Euro area stock markets: A copula-based approach," Global Finance Journal, Elsevier, vol. 35(C), pages 82-96.
  133. Daniela Gabor, 2012. "Managing Capital Accounts in Emerging Markets: Lessons from the Global Financial Crisis," Journal of Development Studies, Taylor & Francis Journals, vol. 48(6), pages 714-731, June.
  134. Mario Cerrato & Zhekai Zhang, 2019. "Can we predict currency momentum crashes?," Working Papers 2019-12, Business School - Economics, University of Glasgow.
  135. Reus, Lorenzo & Mulvey, John M., 2016. "Dynamic allocations for currency futures under switching regimes signals," European Journal of Operational Research, Elsevier, vol. 253(1), pages 85-93.
  136. Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014. "International Diversification Benefits with Foreign Exchange Investment Styles," Review of Finance, European Finance Association, vol. 18(5), pages 1847-1883.
  137. Tommaso Mancini Griffoli & Angelo Ranaldo, 2010. "Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity," Working Papers 2010-14, Swiss National Bank.
  138. Yasuhiro Iwanaga & Ryuta Sakemoto, 2023. "Commodity momentum decomposition," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 198-216, February.
  139. Li Guo & Wolfgang Karl Härdle & Yubo Tao, 2024. "A Time-Varying Network for Cryptocurrencies," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 437-456, April.
  140. Djeutem, Edouard & Dunbar, Geoffrey R., 2022. "Uncovered return parity: Equity returns and currency returns," Journal of International Money and Finance, Elsevier, vol. 128(C).
  141. Baba, Naohiko & Sakurai, Yuji, 2011. "When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1450-1463, June.
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