[go: up one dir, main page]
create a website
Carry Trade. (). Jorda, Oscar.
In: Working Papers.
RePEc:cda:wpaper:10-18.

Full description at Econpapers || Download paper

Cited: 5

Citations received by this document

Cites: 36

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Is there a carry trade channel of monetary policy in emerging countries?. (2012). Kisgergely, Kornel .
    In: MNB Working Papers.
    RePEc:mnb:wpaper:2012/3.

    Full description at Econpapers || Download paper

  2. THE VOLATILITY OF THE WON-DOLLAR EXCHANGE RATE DURING THE 2008-9 CRISIS. (2012). Yoo, Byoung Hark ; SHIN, HYUN KOOK .
    In: Journal of Economic Development.
    RePEc:jed:journl:v:37:y:2012:i:4:p:61-77.

    Full description at Econpapers || Download paper

  3. Explaining the returns of active currency managers. (2011). Nasypbek, Sam ; Rehman, Scheherazade S.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-11.

    Full description at Econpapers || Download paper

  4. Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons. (2010). Taylor, Alan ; Schularick, Moritz ; Jorda, Oscar.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16567.

    Full description at Econpapers || Download paper

  5. Comment on Currency Carry Trades. (2010). Cumby, Robert .
    In: NBER Chapters.
    RePEc:nbr:nberch:12217.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Alexius, Annika. 2001. Uncovered Interest Rate Parity Revisited. Review of International Economics 9(3): 505-17.

  2. Ang, Andrew and Joseph S. Chen. 2010. Yield Curve Predictors of Foreign Exchange Returns. University of California, Davis. Photocopy.
    Paper not yet in RePEc: Add citation now

  3. Bacchetta, Philip and Eric van Wincoop. 2006. Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? American Economic Review 96(3): 552-76.

  4. Bacchetta, Philip and Eric van Wincoop. 2007. Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? American Economic Review 96(3): 552-76.
    Paper not yet in RePEc: Add citation now
  5. Bakker, Age and Bryan Chapple. 2002. Advanced Couontry Experiences with Capital Account Liberalization. Occasional paper 214, Washington, D.C.: International Monetary Fund.
    Paper not yet in RePEc: Add citation now
  6. Bank of International Settlements Triennial Central Bank Survey. December 2010.
    Paper not yet in RePEc: Add citation now

  7. Bekaert, Geert and Robert J. Rodrick. 1993. On biases in the Measurement of Foreign Exchange Risk Premiums. Journal of International Money and Finance 12(2): 115-38.

  8. Bernardo, Antonio E. and Olivier Ledoit. 2000. Gain, Loss and Asset Pricing. Journal of Political Economy 108(1): 144-172.

  9. Bhansali, Vineer. 2007. Volatility and the Carry Trade. Journal of Fixed Income 17(3): 72-84.
    Paper not yet in RePEc: Add citation now

  10. Brunnermeier, Markus K. and Lasse H. Pederesen. 2008. Market Liquidity and Funding Liquidity. The Review of Financial Studies 22(6): 2201-2238.

  11. Brunnermeier, Markus K., Stefan Nagel and Lasse H. Pedersen. 2009. Carry Trades and Currency Crashes. In NBER Macroeconomics Annual 2008. Daron Acemoglou, Kenneth Rogoff and Michael Woodford (eds.). Chicago: University of Chicago Press Journals.

  12. Cheung, Yin-Wong, Menzie D. Chinn and Antonio García Pascual. 2005. Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? Journal of International Money and Finance 24(7): 1150-75.

  13. Engel, Charles and James D. Hamilton. 1990. Long Swings in the Dollar: Are They in the Data and Do Markets Know It? American Economic Review 80(4): 698-713.

  14. Fama, Eugene F. 1984. Forward and Spot Exchange Rates. Journal of Monetary Economics 14(3): 319-38.

  15. Fisher, Eric O'N. 2006. The Forward Premium in a Model with Heterogenous Prior Beleifs. Journal of International Money and Finance 25(1): 48-70.

  16. Frankel, Jeffrey A. 1980. Tests of Rational Expectations in the Forward Exchange Market.
    Paper not yet in RePEc: Add citation now

  17. Frankel, Jeffrey A. and Andrew K. Rose. 1995. Empirical Research on Nominal Exchange Rates. In Handbook of International Economics. Gene M. Grossman and Kenneth Rogoff (eds.). Amsterdam: Elsevier Science.

  18. Froot, Kenneth A. and Kenneth Rogoff. 1995. Perspectives on PPP and Long-Run Real Exchange Rates. In Handbook of International Economics. Gene M. Grossman and Kenneth Rogoff (eds.). Amsterdam: Elsevier Science.

  19. Froot, Kenneth A. and Richard H. Thaler. 1990. Foreign Exchange. Journal of Economic Perpectives 4(3): 179-92.

  20. Froot, Kenneth A. and Tarun Ramadorai. 2005. Currency Returns, Intrinsic Value, and Institutional-Investor Flows. The Journal of Finance LX(3): 1535-1566.

  21. Fujii, Eiji and Menzie D. Chinn. 2000. Fin de Siècle Real Interest Rate Parity. NBER Working Paper 7880.

  22. Ilut, Cosmin. 2008. Ambiguity Aversion: implications for Uncovered Interest Rate Parity Puzzle. Northwestern University. Photocopy.

  23. Jeanne, Olivier and Andrew K. Rose. 2002. Noise Trading and Exchange Rate Regimes. Quarterly Journal of Economics 117(2): 537-69.

  24. Jordà, Òscar and Alan M. Taylor. 2010a. The Carry Trade and Fundamentals: Nothing to Fear by FEER Itself. University of California, Davis. Photocopy.
    Paper not yet in RePEc: Add citation now
  25. Jordà, Òscar and Alan M. Taylor. 2010b. Performance Evaluation of Zero Net-Investment Strategies. University of California, Davis. Photocopy.
    Paper not yet in RePEc: Add citation now

  26. Kilian, Lutz and Mark P. Taylor. 2003. Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates? Journal of International Economics 60(1): 85-107.

  27. Lustig, Hanno and Adrien Verdehlan. 2007. The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk. American Economic Review 97(1): 89-117.

  28. Meese, Richard A. and Kenneth Rogoff. 1983. Empirical Exchange Rate Models of the Seventies. Journal of International Economics 14(1-2): 3-24.
    Paper not yet in RePEc: Add citation now

  29. Menkhoff, Lukas and Mark. P. Taylor. 2007. The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis. Journal of Economic Literature XLV: 936-972.

  30. Nelson, Charles R. and Andrew F. Siegel. 1987. Parsimonious Modeling of Yield Curves. The Journal of Business 60(4): 473-79.

  31. Pastor, Lubos and Robert F. Stambaugh. 2003. Liquidity Risk and Expected Stock Returns. Journal of Political Economy 111(3): 642-685.

  32. Rogoff, Kenneth. 1996. The Purchasing Power Parity Puzzle. Journal of Economic Literature XXXIV: 647-668.

  33. Shleifer, Andrei and Robert W. Vishny. 1997. A Survey of Corporate Governance. Journal of Finance 52(2): 737-83.

  34. Sinclair, Peter J. N. 2005. How Policy Rates Affect Output, Prices and Labour, Open Economy Issues, and Inflation and Disinflation. In How Monetary Policy Works. lavan Mahadeva and Peter J. N. Sinclair (eds.). London: Routledge.
    Paper not yet in RePEc: Add citation now
  35. Southern Economic Journal 46(4): 1083-1101.
    Paper not yet in RePEc: Add citation now

  36. Taylor, Alan M. and Mark P. Taylor. 2004. The Purchasing Power Parity Debate. Journal of Economic Perspectives 18(4): 135-158.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Exchange Rate Determination: Mixed Microstructural and Macroeconomic Approach. (2021). Kammoun, Aida ; Karoui, Ali Trabelsi.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2021-03-11.

    Full description at Econpapers || Download paper

  2. Robust learning in the foreign exchange market. (2020). Nguimkeu, Pierre ; Pierre, Nguimkeu ; Edouard, Djeutem.
    In: The B.E. Journal of Macroeconomics.
    RePEc:bpj:bejmac:v:20:y:2020:i:1:p:14:n:9.

    Full description at Econpapers || Download paper

  3. DeFi Protocols for Loanable Funds: Interest Rates, Liquidity and Market Efficiency. (2020). Werner, Sam M ; Gudgeon, Lewis ; Knottenbelt, William J ; Perez, Daniel .
    In: Papers.
    RePEc:arx:papers:2006.13922.

    Full description at Econpapers || Download paper

  4. Monetary Policy Regime Shifts and Uncovered Interest Parity Revisited: The Euro–US Dollar Exchange Rate. (2016). Se, Young ; Seol, Gwi Hwan.
    In: International Economic Journal.
    RePEc:taf:intecj:v:30:y:2016:i:3:p:360-378.

    Full description at Econpapers || Download paper

  5. Uncovered Interest Parity and Monetary Policy Near and Far from the Zero Lower Bound. (2015). Chinn, Menzie ; Zhang, YI.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21159.

    Full description at Econpapers || Download paper

  6. Exchange Rate Economics. (2014). Miller, Norman C..
    In: Books.
    RePEc:elg:eebook:14981.

    Full description at Econpapers || Download paper

  7. Exchange Rates and Interest Parity. (2013). Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19336.

    Full description at Econpapers || Download paper

  8. A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets. (2012). Shaliastovich, Ivan ; Bansal, Ravi .
    In: 2012 Meeting Papers.
    RePEc:red:sed012:778.

    Full description at Econpapers || Download paper

  9. Long Horizon Uncovered Interest Parity Re-Assessed. (2012). Chinn, Menzie ; MenzieD. Chinn, ; Quayyum, Saad.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18482.

    Full description at Econpapers || Download paper

  10. The carry trade and fundamentals: Nothing to fear but FEER itself. (2012). Taylor, Alan ; Jorda, Oscar.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:88:y:2012:i:1:p:74-90.

    Full description at Econpapers || Download paper

  11. Performance Evaluation of Zero Net-Investment Strategies. (2011). Taylor, Alan ; Jorda, Oscar.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17150.

    Full description at Econpapers || Download paper

  12. The Real Exchange Rate, Real Interest Rates, and the Risk Premium. (2011). Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17116.

    Full description at Econpapers || Download paper

  13. The Real Exchange Rate, Real Interest Rates, and the Risk Premium. (2011). Engel, Charles.
    In: Economics Series.
    RePEc:ihs:ihsesp:265.

    Full description at Econpapers || Download paper

  14. The Real Exchange Rate, Real Interest Rates, and the Risk Premium. (2011). Engel, Charles.
    In: Working Papers.
    RePEc:hkm:wpaper:272011.

    Full description at Econpapers || Download paper

  15. For Rich or for Poor: When does Uncovered Interest Parity Hold?. (2010). Roche, Maurice ; Moore, Michael.
    In: Working Papers.
    RePEc:rye:wpaper:wp015.

    Full description at Econpapers || Download paper

  16. Uncovered Interest Parity and Financial Market Volatility. (2009). Horobet, Alexandra ; Dumitrescu, Sorin .
    In: Romanian Economic Journal.
    RePEc:rej:journl:v:12:y:2009:i:32:p:21-45.

    Full description at Econpapers || Download paper

  17. The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself. (2009). Taylor, Alan ; Jorda, Oscar.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15518.

    Full description at Econpapers || Download paper

  18. The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself. (2009). Taylor, Alan ; Jorda, Oscar.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7568.

    Full description at Econpapers || Download paper

  19. Comparing Forecast Performance of Exchange Rate Models. (2008). Yu, Ip-wing ; Lam, Lillie ; Fung, Laurence .
    In: Working Papers.
    RePEc:hkg:wpaper:0808.

    Full description at Econpapers || Download paper

  20. Time-varying risk, interest rates, and exchange rates in general equilibrium. (2008). Kehoe, Patrick ; Atkeson, Andrew ; Alvarez, Fernando.
    In: Staff Report.
    RePEc:fip:fedmsr:371.

    Full description at Econpapers || Download paper

  21. The Forward Premium Puzzle only emerges gradually. (2007). von Hagen, Juergen ; Bernoth, Kerstin ; de Vries, Casper G. ; Jürgen von Hagen, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070033.

    Full description at Econpapers || Download paper

  22. Uncovered Interest Parity: Cross-sectional Evidence. (2007). Lee, Byung-Joo.
    In: MPRA Paper.
    RePEc:pra:mprapa:10360.

    Full description at Econpapers || Download paper

  23. Uncovering Yield Parity: A New Insight into the UIP Puzzle through the Stationarity of Long Maturity Forward Rates. (2007). Darvas, Zsolt ; Rappai, Gbor ; Schepp, Zoltn.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:84.

    Full description at Econpapers || Download paper

  24. Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs. (2007). Roche, Maurice ; Moore, Michael.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1750507.

    Full description at Econpapers || Download paper

  25. Model-free evaluation of directional predictability in foreign exchange markets. (2007). Hong, Yongmiao ; Chung, Jaehun.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:22:y:2007:i:5:p:855-889.

    Full description at Econpapers || Download paper

  26. Official interventions and the forward premium anomaly. (2007). Moh, Young-Kyu ; Mark, Nelson.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:499-522.

    Full description at Econpapers || Download paper

  27. Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity. (2007). Ichiue, Hibiki ; Koyama, Kentaro .
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:07-e-22.

    Full description at Econpapers || Download paper

  28. Interest Rates and Exchange Rate Movements: Analyzing Short-term Investments in Long-term Bonds. (2006). Sax, Christoph.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:20:y:2006:i:2:p:205-220.

    Full description at Econpapers || Download paper

  29. Uncovering Yield Parity: A new insight into the UIP puzzle through the stationarity of long maturity forward rates. (2006). Darvas, Zsolt ; Gábor Rappai, ; Zoltán Schepp, .
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:098.

    Full description at Econpapers || Download paper

  30. Forecasting the Colombian Exchange Rate: Capital Adjustments and Politics vs. Traditional IRP, Trade Adjustments and Random Walk Frameworks. (2006). RESTREPO, Daniel MITCHELL .
    In: ARCHIVOS DE ECONOMÍA.
    RePEc:col:000118:011228.

    Full description at Econpapers || Download paper

  31. Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era. (2005). Chinn, Menzie ; Meredith, Guy .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11077.

    Full description at Econpapers || Download paper

  32. The Use of Predictive Regressions at Alternative Horizons in Finance and Economics. (2004). Sul, Donggyu ; Mark, Nelson.
    In: Finance.
    RePEc:wpa:wuwpfi:0409032.

    Full description at Econpapers || Download paper

  33. The Use of Predictive Regressions at Alternative Horizons in Finance and Economics. (2004). Sul, Donggyu ; Mark, Nelson.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0298.

    Full description at Econpapers || Download paper

  34. Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market. (2004). Moh, Young-Kyu ; Mark, Nelson.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:762.

    Full description at Econpapers || Download paper

  35. A Theory of Exchange Rates and the Term Structure of Interest Rates. (2003). Ogaki, Masao ; Lim, Hyoung-Seok .
    In: RCER Working Papers.
    RePEc:roc:rocher:504.

    Full description at Econpapers || Download paper

  36. Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market. (2003). Moh, Young-Kyu ; Mark, Nelson.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9948.

    Full description at Econpapers || Download paper

  37. Medium-Term Exchange Rate Forecasting; What Can We Expect?. (2003). Meredith, Guy M.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2003/021.

    Full description at Econpapers || Download paper

  38. Booms and Busts in EMU. (2003). Gottfries, Nils.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2003_029.

    Full description at Econpapers || Download paper

  39. What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated. (2003). Cheung, Yin-Wong ; Chinn, Menzie ; Garcia-Pascual, Antonio.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_902.

    Full description at Econpapers || Download paper

  40. What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated. (2003). Cheung, Yin-Wong ; Chinn, Menzie ; Pascual, Antonio Garcia .
    In: Santa Cruz Department of Economics, Working Paper Series.
    RePEc:cdl:ucscec:qt8ds2g7qg.

    Full description at Econpapers || Download paper

  41. Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?. (2003). Cheung, Yin-Wong ; Chinn, Menzie ; Pascual, Antonio Garcia .
    In: Santa Cruz Department of Economics, Working Paper Series.
    RePEc:cdl:ucscec:qt5fc508pt.

    Full description at Econpapers || Download paper

  42. Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?. (2003). Cheung, Yin-Wong ; Chinn, Menzie ; Pascual, Antonio Garcia .
    In: Santa Cruz Department of Economics, Working Paper Series.
    RePEc:cdl:ucscec:qt12z9x4c5.

    Full description at Econpapers || Download paper

  43. What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated. (2003). Cheung, Yin-Wong ; Chinn, Menzie ; Pascual, Antonio Garcia .
    In: Santa Cruz Department of Economics, Working Paper Series.
    RePEc:cdl:ucscec:qt0jc800x9.

    Full description at Econpapers || Download paper

  44. Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?. (2003). Cheung, Yin-Wong ; Chinn, Menzie ; Pascual, Antonio Garcia .
    In: Santa Cruz Center for International Economics, Working Paper Series.
    RePEc:cdl:scciec:qt5fc508pt.

    Full description at Econpapers || Download paper

  45. What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated. (2003). Cheung, Yin-Wong ; Chinn, Menzie ; Pascual, Antonio Garcia .
    In: Santa Cruz Center for International Economics, Working Paper Series.
    RePEc:cdl:scciec:qt0jc800x9.

    Full description at Econpapers || Download paper

  46. Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?. (2002). Garcia Pascual, Antonio ; Cheung, Yin-Wong ; Chinn, Menzie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9393.

    Full description at Econpapers || Download paper

  47. Can Endogenous Monetary Policy Explain the Deviations from UIP. (2002). Alexius, Annika.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2002_017.

    Full description at Econpapers || Download paper

  48. How well do monetary fundamentals forecast exchange rates?. (2002). Sarno, Lucio ; Neely, Christopher.
    In: Review.
    RePEc:fip:fedlrv:y:2002:i:sep:p:51-74:n:v.84no.5.

    Full description at Econpapers || Download paper

  49. Fin de Siecle Real Interest Parity. (2000). Fujii, Eiji ; Chinn, Menzie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7880.

    Full description at Econpapers || Download paper

  50. Another look at long-horizon uncovered interest parity. (). Montañés, Antonio ; Montaes, Antonio ; Sanso-Navarro, Marcos.
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:221.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-22 11:24:42 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.