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Downside Market Risk of Carry Trades
Review of Finance. 2014. Vol. 18. No. 5. P. 1885-1913.
Язык:
английский
Добрынская В. В., / Высшая школа экономики. Series WP BRP 55/LNG/2017. 2011. No. WP13/2011/01.
Some currencies persistently move together with the stock market and crash in periods of market downturns or high volatility, while others serve as a “safe haven”. In this paper, I study whether or not countries’ macroeconomic characteristics are systematically related to the market risk of their currencies. I find that the market risk is not ...
Добавлено: 4 октября 2012 г.
Добрынская В. В., Review of International Economics 2015 Vol. 23 No. 2 P. 345-360
Добавлено: 23 марта 2015 г.
Добрынская В. В., / INFER. Series "INFER Working papers". 2012. No. 2011.5.
Some currencies systematically crash together with the stock market, while others serve as a “safe haven”. This paper studies which country macroeconomic fundamentals are consistently related to the riskiness of its currency. I look at various macroeconomic variables and find that high real interest rates in a country are associated with high downside risk of ...
Добавлено: 4 октября 2012 г.
Добрынская В. В., Quarterly Journal of Finance 2022 Vol. 12 No. 2 Article 2250001
Добавлено: 31 января 2023 г.
Добрынская В. В., Journal of International Financial Markets, Institutions and Money 2019 No. 63 P. 101141
Добавлено: 14 августа 2020 г.
Добрынская В. В., / Высшая школа экономики. Series WP BRP 55/LNG/2017. 2010. No. WP13/2010/01.
Carry trades consistently generate high excess returns with high Sharp ratios, but are subject to crash risk. I take a closer look at the link between the carry trade returns and the stock market to understand the risks involved and to determine when and why currency crashes happen. Every period, I sort currencies of developed ...
Добавлено: 4 октября 2012 г.
Добрынская В. В., / Высшая школа экономики. Series FE "Financial Economics". 2017. No. 61/FE/2017.
Добавлено: 23 октября 2018 г.