The carry trade in industrialized and emerging markets

The carry trade in industrialized and emerging markets

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The profitability of currency carry trades in and of itself is 'economic' evidence against the uncovered interest parity (UIP) condition. There is a wide variety of 'statistical' evidence against UIP. Yet the relationship between these two types of evidence and their implications...

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Autor principal: Burnside, Craig
Formato: Artículo
Lenguaje:eng
Publicado: Banco Central de Chile 2019
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TIPO DE CAMBIO
Acceso en línea:https://hdl.handle.net/20.500.12580/3818
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spelling oai-20.500.12580-38182021-04-24T11:09:30Z The carry trade in industrialized and emerging markets Burnside, Craig TIPO DE CAMBIO The profitability of currency carry trades in and of itself is 'economic' evidence against the uncovered interest parity (UIP) condition. There is a wide variety of 'statistical' evidence against UIP. Yet the relationship between these two types of evidence and their implications for time variation in risk premia is not fully understood. Furthermore most of the literature has focused on the currencies of industrialized economies. The failure of UIP in emerging market currencies and its implications for the risk premia of these currencies has received considerably less attention. In this paper I reconsider UIP the carry trade and the behavior of risk premia and draw comparisons between currencies in industrialized economies and those in emerging markets. 2019-11-01T00:07:11Z 2019-11-01T00:07:11Z 2015 Artículo 978-956-7421-47-3 https://hdl.handle.net/20.500.12580/3818 eng Series on Central Banking Analysis and Economic Policies no. 20 Attribution-NonCommercial-NoDerivs 3.0 Chile http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ .pdf Sección o Parte de un Documento p. 245-280 application/pdf Banco Central de Chile
institution Banco Mundial
collection Banco Mundial
language eng
topic TIPO DE CAMBIO
spellingShingle TIPO DE CAMBIO
Burnside, Craig
The carry trade in industrialized and emerging markets
description The profitability of currency carry trades in and of itself is 'economic' evidence against the uncovered interest parity (UIP) condition. There is a wide variety of 'statistical' evidence against UIP. Yet the relationship between these two types of evidence and their implications for time variation in risk premia is not fully understood. Furthermore most of the literature has focused on the currencies of industrialized economies. The failure of UIP in emerging market currencies and its implications for the risk premia of these currencies has received considerably less attention. In this paper I reconsider UIP the carry trade and the behavior of risk premia and draw comparisons between currencies in industrialized economies and those in emerging markets.
format Artículo
author Burnside, Craig
author_facet Burnside, Craig
author_sort Burnside, Craig
title The carry trade in industrialized and emerging markets
title_short The carry trade in industrialized and emerging markets
title_full The carry trade in industrialized and emerging markets
title_fullStr The carry trade in industrialized and emerging markets
title_full_unstemmed The carry trade in industrialized and emerging markets
title_sort carry trade in industrialized and emerging markets
publisher Banco Central de Chile
publishDate 2019
url https://hdl.handle.net/20.500.12580/3818
work_keys_str_mv AT burnsidecraig thecarrytradeinindustrializedandemergingmarkets
AT burnsidecraig carrytradeinindustrializedandemergingmarkets
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