Do Peso Problems Explain the Returns to the Carry Trade?

• 成果类型: Article
• 署名作者: Burnside, Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio
• 署名单位: Northwestern University; Duke University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Washington University (WUSTL)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq138
• 发表日期: 2011
• 页码: 853
• 关键词: CONSUMPTION-BASED EXPLANATION; FOREIGN-EXCHANGE MARKETS; Expected stock returns; EXCESS RETURNS; RISK; premium; implicit; options; equity; habit

摘要

We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average large and uncorrelated with traditional risk factors. We argue that these payoffs reflect a peso problem. The underlying peso event features high values of the stochastic discount factor rather than very large negative payoffs.