Concealed carry☆

• 成果类型: Article
• 署名作者: Andrews, Spencer; Colacito, Riccardo; Croce, Mariano M.; Gavazzoni, Federico
• 署名单位: Office of Financial Research; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Bocconi University; Centre for Economic Policy Research - UK; Bocconi University; BI Norwegian Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103874
• 发表日期: 2024
• 关键词: Carry trades; yield curves; Global inflation risk

摘要

The slope carry takes a long (short) position in the long-term bonds of countries with steeper (flatter) yield curves. The traditional carry takes a long (short) position in countries with high (low) short-term rates. We document that: (i) the slope carry return is slightly negative (strongly positive) in the pre (post) 2008 period, whereas it is concealed over longer samples; (ii) the traditional carry return is lower post-2008; and (iii) expected global growth and inflation declined post-2008. We connect these findings through an equilibrium model in which countries feature heterogeneous exposure to news shocks about global output and global inflation.