Carry trade returns and foreign exchange rate risk

Detalhes bibliográficos
Autor(a) principal: Silva, Emerson marques da
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/27805
Resumo: This paper analyses whether foreign exchange risk measures and its components have the ability to predict the return to the carry trade strategy. We employ a dynamic portfolio composed of 20 currencies. We first show that carry trade returns are related to the total variance of our portfolio of currencies. We then decompose the total variance of this portfolio in a component representing the average variance of this portfolio and another representing its average correlation. Since average correlation is not significantly related to carry trade returns, the predictive power of market variance is primarily attributable to average variance.
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spelling Carry trade returns and foreign exchange rate riskCarry tradeAverage varianceaverage correlationquantile regressionDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper analyses whether foreign exchange risk measures and its components have the ability to predict the return to the carry trade strategy. We employ a dynamic portfolio composed of 20 currencies. We first show that carry trade returns are related to the total variance of our portfolio of currencies. We then decompose the total variance of this portfolio in a component representing the average variance of this portfolio and another representing its average correlation. Since average correlation is not significantly related to carry trade returns, the predictive power of market variance is primarily attributable to average variance.Silva, André CastroLyrio, MarcoRUNSilva, Emerson marques da2019-06-30T00:30:44Z2017-06-302017-06-30T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/27805TID:201752506enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:14:43Zoai:run.unl.pt:10362/27805Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:45.543777Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Carry trade returns and foreign exchange rate risk
title Carry trade returns and foreign exchange rate risk
spellingShingle Carry trade returns and foreign exchange rate risk
Silva, Emerson marques da
Carry trade
Average variance
average correlation
quantile regression
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Carry trade returns and foreign exchange rate risk
title_full Carry trade returns and foreign exchange rate risk
title_fullStr Carry trade returns and foreign exchange rate risk
title_full_unstemmed Carry trade returns and foreign exchange rate risk
title_sort Carry trade returns and foreign exchange rate risk
author Silva, Emerson marques da
author_facet Silva, Emerson marques da
author_role author
dc.contributor.none.fl_str_mv Silva, André Castro
Lyrio, Marco
RUN
dc.contributor.author.fl_str_mv Silva, Emerson marques da
dc.subject.por.fl_str_mv Carry trade
Average variance
average correlation
quantile regression
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Carry trade
Average variance
average correlation
quantile regression
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper analyses whether foreign exchange risk measures and its components have the ability to predict the return to the carry trade strategy. We employ a dynamic portfolio composed of 20 currencies. We first show that carry trade returns are related to the total variance of our portfolio of currencies. We then decompose the total variance of this portfolio in a component representing the average variance of this portfolio and another representing its average correlation. Since average correlation is not significantly related to carry trade returns, the predictive power of market variance is primarily attributable to average variance.
publishDate 2017
dc.date.none.fl_str_mv 2017-06-30
2017-06-30T00:00:00Z
2019-06-30T00:30:44Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/27805
TID:201752506
url http://hdl.handle.net/10362/27805
identifier_str_mv TID:201752506
dc.language.iso.fl_str_mv eng
language eng
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eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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