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Currency Carry Trade Regimes: Beyond the Fama Regression
14 references·7 citing·43 second hop
Currency Carry Trade Regimes: Beyond the Fama Regression (2009)Currency Carry Trade Regimes: Beyond the …Crash-neutral currency carry trades (2014)Crash-neutral currency carry …From Turmoil to Crisis: Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers (2009)From Turmoil to Crisis: Dislo…Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity (2008)Regime Switches in Exchange R…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Volatility and the Carry Trade (2007)Volatility and the Carry TradeThe Returns to Currency Speculation (2006)The Returns to Currency Specu…A Simple Framework for International Monetary Policy Analysis (2002)A Simple Framework for Intern…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)The Forward Discount Anomaly …Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeThe term structure of euromarket interest rates (1987)The term structure of euromar…Forward and spot exchange rates (1984)Forward and spot exchange rat…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Common Macro Factors and Currency Premia (2017)Common Macro Factors and Curr…Carry Trades and Exchange Rate Volatility: A TVAR Approach (2016)Carry Trades and Exchange Rat…Can implied volatility predict returns on the currency carry trade? (2015)Can implied volatility predic…The Carry Trade: Risks and Drawdowns (2014)The Carry Trade: Risks and Dr…Determinants of carry trades in Central and Eastern Europe (2012)Determinants of carry trades …Why are Real Interest Rates in New Zealand so High? Evidence and Drivers (2010)Why are Real Interest Rates i…Currency Carry Trades (2010)Currency Carry TradesCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Continuous Auctions and Insider Trading (1985)Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)What do we learn from the price of crude oil futures? (2010)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Empirical exchange rate models of the seventies (1983)The Determinants of Credit Spread Changes (2001)Market Liquidity and Funding Liquidity (2008)Do Peso Problems Explain the Returns to the Carry Trade? (2010)Currency momentum strategies (2012)International Liquidity and Exchange Rate Dynamics * (2015)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era (2005)The Continuing Puzzle of Short Horizon Exchange Rate Forecasting (2008)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Optimal monetary policy with staggered wage and price contracts (2000)Optimal Monetary Policy in Open versus Closed Economies: An Integrated Approach (2001)Monetary Policy and Exchange Rate Volatility in a Small Open Economy (2005)Optimal monetary and fiscal policy in a currency union (2008)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Theory of Value (1959)The Pricing of Options and Corporate Liabilities (1973)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Crises and Recoveries in an Empirical Model of Consumption Disasters (2013)Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2013)The Share of Systematic Variation in Bilateral Exchange Rates (2017)A Black Swan in the Money MarketConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Crash Risk in Currency Markets (2009)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs (2010)Covered interest parity lost: understanding the cross-currency basis (2016)Evaporating Liquidity (2012)
this work references cited by second hop

References

  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 2002A Simple Framework for International Monetary Policy Analysis799 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 2008Carry Trades and Currency Crashes654 cited
  • 2014Crash-neutral currency carry trades319 cited
  • 1995The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence315 cited
  • 2009From Turmoil to Crisis: Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers226 cited
  • 2006The Returns to Currency Speculation170 cited
  • 1987The term structure of euromarket interest rates94 cited
  • 2007Volatility and the Carry Trade66 cited
  • 2008Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity30 cited

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  • 2017Common Macro Factors and Currency Premia30 cited

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2015
Can implied volatility predict returns on the currency carry trade?
30 cited
  • 2010Currency Carry Trades29 cited
  • 2012Determinants of carry trades in Central and Eastern Europe27 cited
  • 2014The Carry Trade: Risks and Drawdowns24 cited
  • 2016Carry Trades and Exchange Rate Volatility: A TVAR Approach16 cited
  • 2010Why are Real Interest Rates in New Zealand so High? Evidence and Drivers14 cited