The main objective of this paper is to investigate the diversification role of currency momentum for carry trade crashes during the turbulent periods surrounding the 1997-1998 Asian financial crisis and the 2007-2008 global financial crisis. The motivation is to use an important tendency of...

This chapter book identifies three crisis warning indicators driven from trading in emerging markets' carry trades, and empirically examines whether these indicators could predict two major financial crises that hit the global financial markets in the last decades – The 1997-1998 Asian crisis...