Coudert, Virginie; Mignon, Valérie - In: Journal of International Money and Finance 32 (2013) C, pp. 491-511
Carry-trade strategies which consist of buying forward high-yield currencies tend to yield positive excess returns when global financial markets are booming, whereas they generate losses during crises. Firstly, we show that the sovereign default risk, which is taken on by investing in high-yield...