Carry Trades and Global Foreign Exchange Volatility

Material TypeArticleLanguageEnglish
TitleCarry Trades and Global Foreign Exchange Volatility Author(S)LUKAS MENKHOFF (Author)
Abstract  We investigate the relation between global foreign exchange (FX) volatility risk and the cross section of excess returns arising from popular strategies that borrow in low interest rate currencies and invest in high interest rate currencies, so-called “carry trades. ...Paginationp 681–718
SubjectEconomicsDescriptorsEconomics
Journal TitleThe Journal of Finance  
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