Currency carry trade, crash risk and the role of speculators: evidence from panel data models

Detalhes bibliográficos
Autor(a) principal: Oliveira, João Paulo Dias
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/120121
Resumo: This work project studies the dynamics of carry trade within a sample of developed currency markets. Using univariate and multivariate analysis, I studied the links between interest rates and foreign currency investments. The results obtained are consistent with the hypothesis that there are positive links between interest rate differentials, currency returns and traders’ long positions, and a negative link between interest rates and the conditional skewness. In addition, I also analysed if carry traders act as stabilizers or destabilizers of foreign exchange rates. The results cannot consistently support the hypothesis of under reaction and stabilization advanced by Brunnermeier, Nagel and Pedersen (2008).
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spelling Currency carry trade, crash risk and the role of speculators: evidence from panel data modelsInterest RatesUIPCarry tradeCrash riskInterest rate differentialDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis work project studies the dynamics of carry trade within a sample of developed currency markets. Using univariate and multivariate analysis, I studied the links between interest rates and foreign currency investments. The results obtained are consistent with the hypothesis that there are positive links between interest rate differentials, currency returns and traders’ long positions, and a negative link between interest rates and the conditional skewness. In addition, I also analysed if carry traders act as stabilizers or destabilizers of foreign exchange rates. The results cannot consistently support the hypothesis of under reaction and stabilization advanced by Brunnermeier, Nagel and Pedersen (2008).Rodrigues, Paulo M. M.RUNOliveira, João Paulo Dias2021-06-28T13:07:33Z2018-01-172018-012018-01-17T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/120121TID:201861496enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:02:43Zoai:run.unl.pt:10362/120121Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:44:17.385456Repositório 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 Currency carry trade, crash risk and the role of speculators: evidence from panel data models
title Currency carry trade, crash risk and the role of speculators: evidence from panel data models
spellingShingle Currency carry trade, crash risk and the role of speculators: evidence from panel data models
Oliveira, João Paulo Dias
Interest Rates
UIP
Carry trade
Crash risk
Interest rate differential
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Currency carry trade, crash risk and the role of speculators: evidence from panel data models
title_full Currency carry trade, crash risk and the role of speculators: evidence from panel data models
title_fullStr Currency carry trade, crash risk and the role of speculators: evidence from panel data models
title_full_unstemmed Currency carry trade, crash risk and the role of speculators: evidence from panel data models
title_sort Currency carry trade, crash risk and the role of speculators: evidence from panel data models
author Oliveira, João Paulo Dias
author_facet Oliveira, João Paulo Dias
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo M. M.
RUN
dc.contributor.author.fl_str_mv Oliveira, João Paulo Dias
dc.subject.por.fl_str_mv Interest Rates
UIP
Carry trade
Crash risk
Interest rate differential
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Interest Rates
UIP
Carry trade
Crash risk
Interest rate differential
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This work project studies the dynamics of carry trade within a sample of developed currency markets. Using univariate and multivariate analysis, I studied the links between interest rates and foreign currency investments. The results obtained are consistent with the hypothesis that there are positive links between interest rate differentials, currency returns and traders’ long positions, and a negative link between interest rates and the conditional skewness. In addition, I also analysed if carry traders act as stabilizers or destabilizers of foreign exchange rates. The results cannot consistently support the hypothesis of under reaction and stabilization advanced by Brunnermeier, Nagel and Pedersen (2008).
publishDate 2018
dc.date.none.fl_str_mv 2018-01-17
2018-01
2018-01-17T00:00:00Z
2021-06-28T13:07:33Z
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/10362/120121
TID:201861496
url http://hdl.handle.net/10362/120121
identifier_str_mv TID:201861496
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
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
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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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