Carry Trades and Currency Crashes
收藏NBER2008-11-01 更新2025-01-04 收录
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https://www.nber.org/papers/w14473
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资源简介：
This paper documents that carry traders are subject to crash risk: i.e. exchange rate movements between high-interest-rate and low-interest-rate currencies are negatively skewed. We argue that this negative skewness is due to sudden unwinding of carry trades, which tend to occur in periods in which
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美国国家经济研究局创建时间：
2008-11-01
