Carry Trade and Systemic Risk: Why are FX Options so Cheap?
收藏NBER2012-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w18644
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资源简介：
In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with the return of a VIX rolldown strategy --i.e., the strategy
提供机构：
美国国家经济研究局
创建时间：
2012-12-01
