An Empirical Investigation into the Reversal of the Carry Trade
| dc.cclicence | CC-BY-NC | en |
| dc.contributor.author | Lancastle, Neil | en |
| dc.date.accessioned | 2018-03-27T10:28:49Z | |
| dc.date.available | 2018-03-27T10:28:49Z | |
| dc.date.issued | 2017-07-11 | |
| dc.description.abstract | The carry trade, where profits can be made in currency markets using price information alone, has been a persistent anomaly in financial markets since the collapse of Bretton Woods. The paper investigates the reversal of the carry trade since the Global Financial Crisis, aims to contribute towards a better understanding of currency markets, and to understand how the carry trade reacts to changes in the short-term policy rate. The results suggest that the carry trade is not a risk-premium, but is driven by momentum. The reversal of the carry trade, and changes in reaction to short-term policy rates, are consistent with a change in the effectiveness of monetary policy since the Global Financial Crisis, where central banks intervene directly to provide domestic liquidity: a liquidity put. | en |
| dc.funder | N/A | en |
| dc.identifier.uri | http://hdl.handle.net/2086/15613 | |
| dc.language.iso | en | en |
| dc.peerreviewed | Yes | en |
| dc.projectid | N/A | en |
| dc.researchgroup | FiBRe | en |
| dc.researchinstitute | Finance and Banking Research Group (FiBRe) | en |
| dc.subject | Global financial crisis; carry trade; liquidity | en |
| dc.title | An Empirical Investigation into the Reversal of the Carry Trade | en |
| dc.type | Conference | en |