CEU Electronic Theses and Dissertations, 2011
| Author | G. Szabó, Kálmán László |
|---|---|
| Title | AN EMPIRICAL STUDY OF CURRENCY CARRY TRADE STRATEGIES |
| Summary | This study examines the risk-return trade-off in currency carry trade positions. I calculate the dependence of two different risk measures, skewness and the probability of a bigger than 10% loss on a set of variables, including the previous period return and find that high returns in carry trades induce the crash risk to grow in the next period. Crash risk is the price investors of carry positions have to pay for the high expected excess returns. Estimations were carried out on the entire sample as well as a sub-sample and I found that results tend to vary significantly depending on the used time periods. |
| Supervisor | Kondor, Peter |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2011/szabo_kalman-laszlo.pdf |
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