The carry trade and fundamentals: Nothing to fear but FEER itself

• 成果类型: Article
• 署名作者: Jorda, Oscar; Taylor, Alan M.
• 署名单位: University of Virginia; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of California System; University of California Davis; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2012.03.001
• 发表日期: 2012
• 页码: 74-90
• 关键词: uncovered interest parity; efficient markets; Exchange rates; Receiver operating characteristic curve; Correct classification frontier

摘要

Risky arbitraging based on interest rate differentials between two countries is typically referred to as a carry trade. Up until the recent global financial crisis, these trades generated years of persistent positive returns, which were hard to reconcile with standard pricing kernels. In 2008 these trades blew up, which seemed to weaken the case for a puzzle relating to predictable currency returns. But the rise and fall of this puzzle in the academic literature has only been concerned with naive carry trades based on yield signals alone. We show, however, that some simple and more realistic fundamentals-augmented trading strategies would have generated strong and sustained positive profits that endured through the turmoil. (C) 2012 Elsevier B.V. All rights reserved.