We investigate carry trade opportunities in major currencies against the US Dollar over the period 2 Jan 1999 to 31 Dec 2012. There is evidence of significant Australian Dollar (AUD), Euro and Japanese Yen (JPY) carry trades during non-crisis periods. The AUD (JPY) was an investment (a funding)...

We investigate carry trade opportunities in major currencies against the US Dollar over the period 2 Jan 1999 to 31 Dec 2012. There is evidence of significant Australian Dollar (AUD), Euro and Japanese Yen (JPY) carry trades during non-crisis periods. The AUD (JPY) was an investment (a funding)...

Turnover of derivatives has grown more rapidly in emerging markets than in developed countries. Foreign exchange derivatives are the most commonly traded of all risk categories, with increasingly frequent turnover in emerging market currencies and a growing share of cross-border transactions. As...

This paper examines the central bank intervention in the yen/dollar market and its influence on the foreign exchange traders' speculative positions. We observe that speculators predominantly take up the opposite side of the transaction to the central bank. They appear to increase their relative...

This paper presents the first evidence that retail investors play a central role in a speculative attack. Investigating the attacks that affected several emerging economies in the second semester of 2018, I document a strong influence of investor attention on the price and risk of the currency...

The presence of rational speculative bubbles in 28 commodities is investigated using the duration dependence test on the stochastic interest-adjusted basis. 11 of 28 commodities experienced some episodes of rational speculative bubble. These commodities are WTI crude oil, coffee, corn, soybean...