The Chilean peso exchange-rate carry trade and turbulence

In this study we provide evidence regarding the relationship between the Chilean peso carry trade and currency crashes of the peso against other currencies. Using a rich dataset containing information from the local Chilean forward market, we show that speculation aimed at taking advantage of the re...

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Autores principales:	Cox, Paulo, Carreño, José Gabriel
Formato:	Texto
Lenguaje:	English
Publicado:	2017
Materias:	MONEDAS TIPOS DE CAMBIO INESTABILIDAD MONETARIA MERCADOS DE DIVISAS ESPECULACION CURRENCY FOREIGN EXCHANGE RATES CURRENCY INSTABILITY FOREIGN EXCHANGE MARKETS SPECULATION
Acceso en línea:	http://hdl.handle.net/11362/41256
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spelling	oai-11362-412562020-03-06T16:50:27Z The Chilean peso exchange-rate carry trade and turbulence Cox, Paulo Carreño, José Gabriel MONEDAS TIPOS DE CAMBIO INESTABILIDAD MONETARIA MERCADOS DE DIVISAS ESPECULACION CURRENCY FOREIGN EXCHANGE RATES CURRENCY INSTABILITY FOREIGN EXCHANGE MARKETS SPECULATION In this study we provide evidence regarding the relationship between the Chilean peso carry trade and currency crashes of the peso against other currencies. Using a rich dataset containing information from the local Chilean forward market, we show that speculation aimed at taking advantage of the recently large interest rate differentials between the peso and developedcountry currencies has led to several episodes of abnormal turbulence, as measured by the exchange-rate distribution’s skewness coefficient. In line with the interpretative framework linking turbulence to changes in the forward positions of speculators, we find that turbulence is higher in periods during which measures of global uncertainty have been particularly high. 2017-04-25T14:39:16Z 2017-04-25T14:39:16Z 2016-12 Texto Sección o Parte de un Documento http://hdl.handle.net/11362/41256 LC/G.2694-P 4 en CEPAL Review CEPAL Review 120 .pdf application/pdf CHILE CHILE
institution	Cepal
collection	Cepal
language	English
topic	MONEDAS TIPOS DE CAMBIO INESTABILIDAD MONETARIA MERCADOS DE DIVISAS ESPECULACION CURRENCY FOREIGN EXCHANGE RATES CURRENCY INSTABILITY FOREIGN EXCHANGE MARKETS SPECULATION
spellingShingle	MONEDAS TIPOS DE CAMBIO INESTABILIDAD MONETARIA MERCADOS DE DIVISAS ESPECULACION CURRENCY FOREIGN EXCHANGE RATES CURRENCY INSTABILITY FOREIGN EXCHANGE MARKETS SPECULATION Cox, Paulo Carreño, José Gabriel The Chilean peso exchange-rate carry trade and turbulence
description	In this study we provide evidence regarding the relationship between the Chilean peso carry trade and currency crashes of the peso against other currencies. Using a rich dataset containing information from the local Chilean forward market, we show that speculation aimed at taking advantage of the recently large interest rate differentials between the peso and developedcountry currencies has led to several episodes of abnormal turbulence, as measured by the exchange-rate distribution’s skewness coefficient. In line with the interpretative framework linking turbulence to changes in the forward positions of speculators, we find that turbulence is higher in periods during which measures of global uncertainty have been particularly high.
format	Texto
author	Cox, Paulo Carreño, José Gabriel
author_facet	Cox, Paulo Carreño, José Gabriel
author_sort	Cox, Paulo
title	The Chilean peso exchange-rate carry trade and turbulence
title_short	The Chilean peso exchange-rate carry trade and turbulence
title_full	The Chilean peso exchange-rate carry trade and turbulence
title_fullStr	The Chilean peso exchange-rate carry trade and turbulence
title_full_unstemmed	The Chilean peso exchange-rate carry trade and turbulence
title_sort	chilean peso exchange-rate carry trade and turbulence
publishDate	2017
url	http://hdl.handle.net/11362/41256
work_keys_str_mv	AT coxpaulo thechileanpesoexchangeratecarrytradeandturbulence AT carrenojosegabriel thechileanpesoexchangeratecarrytradeandturbulence AT coxpaulo chileanpesoexchangeratecarrytradeandturbulence AT carrenojosegabriel chileanpesoexchangeratecarrytradeandturbulence
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The Chilean peso exchange-rate carry trade and turbulence

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