Currency Carry Trade Regimes: Beyond the Fama Regression
收藏NBER2009-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15523
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资源简介：
We examine the factors that account for the returns on currency carry trade strategies. Using a dataset of daily returns spanning 18 years for 5 different long - short currency carry portfolios, we first document a robust empirical relationship between carry trade excess returns and exchange rate
提供机构：
美国国家经济研究局
创建时间：
2009-11-01
