Downside Market Risk of Carry Trades
Victoria Dobrynskaya
Review of Finance, Volume 18, Issue 5, 1 August 2014, Pages 1885–1913, https://doi.org/10.1093/rof/rfu004
According to uncovered interest parity, free capital mobility ensures that investments in different currencies with different levels of local interest rates do not consistently generate excess returns because a positive interest rate differential should be compensated by the expected exchange rate depreciation of the target currency.… Read more...
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