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Commodity Trade and the Carry Trade: a Tale of Two Countries

Citations

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Cited by:

  1. Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
  2. 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.
  3. Pagnottoni, Paolo & Spelta, Alessandro, 2024. "Hedging global currency risk: A dynamic machine learning approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 649(C).
  4. Semyon Malamud & Andreas Schrimpf & Yuan Zhang, 2025. "An Intermediation-Based Model of Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 38(8), pages 2386-2433.
  5. Guglielmo Maria Caporale & Michael Donadelli & Alessia Varani, 2014. "International Capital Markets Structure, Preferences and Puzzles: The US-China Case," Discussion Papers of DIW Berlin 1362, DIW Berlin, German Institute for Economic Research.
  6. Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
  7. Hou, Ai Jun & Sarno, Lucio & Ye, Xiaoxia, 2025. "The trade imbalance network and currency returns," Journal of Financial Economics, Elsevier, vol. 172(C).
  8. Lei Pan & Svetlana Maslyuk-Escobedo & Vinod Mishra, 2019. "Carry Trade Returns and Commodity Prices under Capital and Interest Rate Controls: Empirical Evidence from China," Monash Economics Working Papers 16-18, Monash University, Department of Economics.
  9. Juliana Salomao & Liliana Varela, 2022. "Exchange Rate Exposure and Firm Dynamics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(1), pages 481-514.
  10. 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.
  11. Raphael Auer & Bruce Muneaki Iwadate & Andreas Schrimpf & Alexander F. Wagner, 2022. "Global Production Linkages and Stock Market Comovement," Swiss Finance Institute Research Paper Series 22-18, Swiss Finance Institute.
  12. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
  13. Fernandes, Leonardo H.S. & Araújo, Fernando H.A., 2020. "Taxonomy of commodities assets via complexity-entropy causality plane," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
  14. Libo Yin & Jing Nie, 2021. "Intermediary asset pricing in currency carry trade returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1241-1267, August.
  15. 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.
  16. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
  17. Yasuhiro Iwanaga & Ryuta Sakemoto, 2023. "Commodity momentum decomposition," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 198-216, February.
  18. Jiang, Zhengyang & Richmond, Robert J. & Zhang, Tony, 2025. "Understanding the strength of the dollar," Journal of Financial Economics, Elsevier, vol. 168(C).
  19. Bondatti, Massimiliano & Rillo, Giovanni, 2022. "Commodity tail-risk and exchange rates," Finance Research Letters, Elsevier, vol. 47(PA).
  20. 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.
  21. Platania, Federico & Toscano Hernandez, Celina & El Ouadghiri, Imane & Peillex, Jonathan, 2026. "The price of going green: Multi-objective optimization in the energy equity space," Energy Economics, Elsevier, vol. 158(C).
  22. 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.
  23. Maurer, Thomas & Tran, Ngoc-Khanh, 2021. "Entangled risks in incomplete FX markets," Journal of Financial Economics, Elsevier, vol. 142(1), pages 146-165.
  24. 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.
  25. Dodd, Olga & Fernandez-Perez, Adrian & Sosvilla-Rivero, Simon, 2026. "Political risk and commodity currencies," Journal of Commodity Markets, Elsevier, vol. 42(C).
  26. Fernanda Gonçalves & Giuliano Ferreira & Alex Ferreira & Pedro Scatimburgo, 2022. "Currency returns and systematic risk," Manchester School, University of Manchester, vol. 90(6), pages 609-647, December.
  27. Hertrich, Daniel, 2023. "Carry and conditional value at risk trend: Capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  28. Brandt, Michael W. & Gao, Lin, 2019. "Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 64-94.
  29. Tarek A Hassan & Rui C Mano, 2019. "Forward and Spot Exchange Rates in a Multi-Currency World," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 134(1), pages 397-450.
  30. 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.
  31. Wang, Wenhao & Cheung, Yin-Wong, 2023. "Commodity price effects on currencies," Journal of International Money and Finance, Elsevier, vol. 130(C).
  32. Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2024. "Cross-momentum strategies in the equity futures and currency markets," Journal of International Money and Finance, Elsevier, vol. 148(C).
  33. Weithing Zhang & Thomas Mertens & Tarek Hassan, 2014. "Currency Manipulation," 2014 Meeting Papers 401, Society for Economic Dynamics.
  34. Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2016. "Not So Disconnected: Exchange Rates and the Capital Stock," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
  35. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
  36. Lin, Juan & Ling, Yufan, 2025. "A unified factor model for emerging market currency comovements," Finance Research Letters, Elsevier, vol. 86(PG).
  37. Ballensiefen, Benedikt & Somogyi, Fabricius & Winterberg, Hannah, 2026. "Demand for dollars: Evidence from survey expectations," CFR Working Papers 26-04, University of Cologne, Centre for Financial Research (CFR).
  38. Ric Colacito & Max Croce & Steven Ho & Philip Howard, 2018. "BKK the EZ Way: International Long-Run Growth News and Capital Flows," American Economic Review, American Economic Association, vol. 108(11), pages 3416-3449, November.
  39. Hassan, Ramin & Loualiche, Erik & Pecora, Alexandre R. & Ward, Colin, 2023. "International trade and the risk in bilateral exchange rates," Journal of Financial Economics, Elsevier, vol. 150(2).
  40. Andrews, Spencer & Colacito, Riccardo & Croce, Mariano M. & Gavazzoni, Federico, 2024. "Concealed carry," Journal of Financial Economics, Elsevier, vol. 159(C).
  41. Shen Gao & Shijie Wang & Yuanzhi Wang & Qunzi Zhang, 2025. "ChatGPT and Commodity Return," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(3), pages 161-175, March.
  42. Tobias Adrian & Daniel Stackman & Erik Vogt, 2019. "Global Price of Risk and Stabilization Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(1), pages 215-260, March.
  43. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019. "Carry trades and commodity risk factors," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 121-129.
  44. Filipe, Sara Ferreira & Nissinen, Juuso & Suominen, Matti, 2023. "Currency carry trades and global funding risk," Journal of Banking & Finance, Elsevier, vol. 149(C).
  45. Zhang, Ziyun & Chen, Su & Li, Bo, 2022. "Does previous carry trade position affect following investors' decision-making and carry returns?," International Review of Financial Analysis, Elsevier, vol. 80(C).
  46. Hanno Lustig & Robert J. Richmond, 2017. "Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates," NBER Working Papers 23773, National Bureau of Economic Research, Inc.
  47. Hasselgren, Anton & Peltomäki, Jarkko & Graham, Michael, 2020. "Speculator activity and the cross-asset predictability of FX returns," International Review of Financial Analysis, Elsevier, vol. 72(C).
  48. Fry-McKibbin, Renée & McKinnon, Kate, 2023. "The evolution of commodity market financialization: Implications for portfolio diversification," Journal of Commodity Markets, Elsevier, vol. 32(C).
  49. Loualiche, Erik & Pecora, Alexandre R. & Somogyi, Fabricius & Ward, Colin, 2026. "Monetary policy transmission through the exchange rate factor structure," Journal of Financial Economics, Elsevier, vol. 182(C).
  50. Pu, Yingjian & Yang, Baochen, 2022. "The commodity futures' historical basis in trading strategy and portfolio investment," Energy Economics, Elsevier, vol. 105(C).
  51. Paul Söderlind & Fabricius Somogyi, 2025. "Liquidity Risk and Currency Premia," Management Science, INFORMS, vol. 71(1), pages 518-537, January.
  52. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
  53. Arash Aloosh & Geert Bekaert, 2022. "Currency Factors," Management Science, INFORMS, vol. 68(6), pages 4042-4064, June.
  54. Tarek A Hassan & Thomas M Mertens & Tony Zhang, 2023. "A Risk-based Theory of Exchange Rate Stabilization," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(2), pages 879-911.
  55. Federico Nucera & Lucio Sarno & Gabriele Zinna, 2024. "Currency Risk Premiums Redux," The Review of Financial Studies, Society for Financial Studies, vol. 37(2), pages 356-408.
  56. Leonardo Flori, Nicola Limodio, 2026. "The Foreign Currency Risk of International Remittances," BAFFI CAREFIN Working Papers 26288, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  57. repec:dau:papers:123456789/15216 is not listed on IDEAS
  58. Valentin Burban & Pavel Diev & Gilles Dufrénot & Nelson Mongeaud, 2026. "Have U.S. Treasuries Lost Their Momentum? Evidence From a New Taxonomy of Safe Assets," Working papers 1049, Banque de France.
  59. Belasen, Ariel R. & Demirer, Rıza, 2019. "Commodity-currencies or currency-commodities: Evidence from causality tests," Resources Policy, Elsevier, vol. 60(C), pages 162-168.
  60. Evgenia Passari, 2015. "Commodity Currencies Revisited," Post-Print hal-01453266, HAL.
  61. Kaebi, Mohammed Mehdi & Ferreira Batista Martins, Igor, 2025. "Long-Run Interest Rate Differentials and the Profitability of Currency Carry," Working Papers 2025:10, Örebro University, School of Business.
  62. Sungjune Pyun, 2025. "Stock-Bond Return Dynamics and the Expected Country Stock Returns," Management Science, INFORMS, vol. 71(12), pages 10603-10623, December.
  63. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  64. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
  65. Jiang, Zhengyang & Richmond, Robert J., 2023. "Origins of international factor structures," Journal of Financial Economics, Elsevier, vol. 147(1), pages 1-26.
  66. Caporale, Guglielmo Maria & Donadelli, Michael & Varani, Alessia, 2015. "International capital markets structure, preferences and puzzles: A “US–China World”," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 85-99.
  67. Maio, Paulo & Zeng, Ming, 2023. "On the driving forces of real exchange rates: Is the Japanese Yen different?," Journal of Empirical Finance, Elsevier, vol. 74(C).
  68. 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.
  69. Lee, Suzanne S. & Wang, Minho, 2020. "Tales of tails: Jumps in currency markets," Journal of Financial Markets, Elsevier, vol. 48(C).
  70. Arunava Bandyopadhyay & Prabina Rajib, 2023. "The asymmetric relationship between Baltic Dry Index and commodity spot prices: evidence from nonparametric causality-in-quantiles test," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(2), pages 217-237, June.
  71. 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.
  72. Gagnon, Marie-Hélène & Manseau, Guillaume & Power, Gabriel J., 2020. "They're back! Post-financialization diversification benefits of commodities," International Review of Financial Analysis, Elsevier, vol. 71(C).
  73. Ric Colacito & Mariano M. Croce & Federico Gavazzoni & Robert Ready, 2018. "Currency Risk Factors in a Recursive Multicountry Economy," Journal of Finance, American Finance Association, vol. 73(6), pages 2719-2756, December.
  74. Thuy-Duong Tô & Ngoc-Khanh Tran, 2024. "Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing," Management Science, INFORMS, vol. 70(12), pages 8448-8463, December.
  75. Aldunate, Felipe & Da, Zhi & Larrain, Borja & Sialm, Clemens, 2025. "Pension fund flows, exchange rates, and covered interest rate parity," Journal of Financial Economics, Elsevier, vol. 170(C).
  76. Tarek A. Hassan & Tony Zhang, 2021. "The Economics of Currency Risk," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 281-307, August.
  77. Lu, Helen & Jacobsen, Ben, 2016. "Cross-asset return predictability: Carry trades, stocks and commodities," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 62-87.
  78. R. Colacito & M. M. Croce & Y. Liu & I. Shaliastovich, 2026. "Volatility (Dis)Connect in International Markets," Management Science, INFORMS, vol. 72(6), pages 4697-4714, June.
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