Della Corte, Pasquale, Riddiough, Steven, Sarno, Lucio, (2016), “Global imbalance risk and exchange rates“, Voxeu, 29 Φεβρουαρίου
Currency markets are an important source of risk premia. Understanding why some currencies offer high returns and whether these returns provide adequate compensation for any additional risk they carry is of critical importance to all international investors. But which currencies offer high returns? Traditionally, the answer was easy – ‘high interest rate currencies’. For decades, an investor who entered a ‘carry trade’ by buying high interest rate currencies and funding the position using low interest rate currencies was particularly successful. This ‘naïve’ strategy has generated high returns over the last 35 years, with better risk-return properties than a simple buy-and-hold strategy in the US stock market.
Σχετικές Αναρτήσεις
- Bodea, Cristina, (2015), “Fixed exchange rates with escape clauses: The political determinants of the European Monetary System realignments”, European Journal of Political Economy, Volume 39, Σεπτέμβριος
- Georgiadis, G. and Grab, J., (2013), “Growth, real exchange rates and trade protectionism since the financial crisis”, European Central Bank, Working Paper No. 1618, Νοέμβριος.