Carry trade: The gains of diversification
成果类型：
Article; Proceedings Paper
署名作者：
Burnside, Craig; Eichenbaum, Martin; Rebelo, Sergio
署名单位：
Duke University; Northwestern University
刊物名称：
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
ISSN/ISSBN：
1542-4766
DOI：
10.1162/JEEA.2008.6.2-3.581
发表日期：
2008
页码：
581-588
关键词：
摘要：
Market participants routinely take advantage of the failure of uncovered interest rate parity to speculate in currency markets. Perhaps the most widely used currency speculation strategy is the carry trade. In this article we take the perspective of an individual currency trader and document the gains to diversifying the carry trade across different currencies. We show that these gains are large. Diversification boosts the typical Sharpe ratio by over 50%.
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