Singapore entered the COVID-19 pandemic with sizable policy space and robust economic policy frameworks, yet facing longer-term challenges. The economy has been severely impacted by the pandemic, but a bold, comprehensive, and coordinated policy package has helped cushion the economic fallout....

Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess returns from the currency carry trade. We show that the...

This paper investigates the extent of volatility or risk spillovers between the currency carry trade and asset markets, namely the equity and bond markets, in South Africa to infer the extent of the connectivity between the two markets. The carry trade operation examined in this paper involves...