Previous research shows that due to a decline in international yields following the recent global crises corporations in emerging markets are issuing more debt in the international markets (offshore debt). Some evidence suggests that lower international rates encourage firms to abnormally...

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Since its launch in 2008, Bitcoin becomes one of the most successful and fast-growing alternative currencies. As of 2017, the market capitalization is around $46 billions and arguably expected to continue growing. The Bitcoin to the US dollar exchange rate has been very volatile and fluctuating...

This paper finds that currency carry trade, which is borrowing money from a low interest rate country and lending it into a high interest rate country, can generate high excess profits and high alpha in both developed and emerging markets. The profit from G-10 country carry trade is mainly...

We empirically examine how the global carry trade affects the dynamics of spot exchange rates and interest rates across 13 countries from 2000, through the world financial crisis, until the end of 2011. Our model identifies the weekly carry trade position in each currency by matching data on...

The term "carry" has been primarily studied and explored within currency markets where, contrary to the uncovered interest rate parity, borrowing from a low interest rate country and investing in a high interest rate country has historically delivered positive and statistically significant...

We study the cross-sectional variation of carry-trade-generated currency excess returns in terms of their exposure to global macroeconomic fundamental risk. The risk factor is the cross-country high-minus-low conditional skewness of the unemployment rate gap. It gives a measure of global...

Drawdown periods of standard carry trades are primarily the result of losses in classic carry trade currencies. These periods coincide with an increased financial stress, such as the recent financial crisis. The introduced optimized carry trades employ a dynamic weighting scheme for currencies,...

This paper investigates the nature and the determinants of the Australian Dollar (AUD) carry trades using a Markov regime shifting model over the period 2 Jan 1999 to 31 Dec 2012. We find that the AUD could have been used, except for a number of short periods notably surrounding the outbreak of...

Since 2013 regulators have been investigating the activities of some of the world's largest banks around the setting of daily benchmarks for forex prices. These benchmarks are a key linchpin of world financial markets, providing standardize prices used to value global equity and bond portfolios,...