Essays about: "currency carry trade"

Showing result 1 - 5 of 10 essays containing the words currency carry trade.

  1. 1. The developed market currency tango: Carry trade and hedging during 2014 – 2019. VECM and DCC approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sekou Soumaoro; [2019]
    Keywords : Carry trade; hedging; currency market; GARCH DCC; VECM; Business and Economics;

    Abstract : In this study carry trade activity in AUD, CAD, EUR and YEN vis the USD between 2014 – 2019 was analysed. The first approach employs a VECM, analyse evidence of carry trade recorded in the exchange rate pairs Futures, Forwards and Spot. READ MORE

  3. 2. Is the Carry Trade strategy an explanation of the Uncovered Interest Parity puzzle?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Benjamin Albertsson; [2018]
    Keywords : Uncovered interest rate parity; UIP puzzle; Carry trade.; Business and Economics;

    Abstract : This paper examines the uncovered interest rate parity (UIP) and extends the analysis in Spronk, Verschoor and Zwinkels (2013) by looking at the UIP between Sweden and the United Kingdom. The flaws of the UIP and the reasons for why it does not seem to hold, has been called the UIP puzzle. READ MORE

  4. 3. Carry trade optimization

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Mannerbjörk; [2015-02-06]
    Keywords : carry trade; intrinsic currency value; portfolio optimization;

    Abstract : This thesis investigates various possible improvements of implementing the carry trade. For this purpose a number of benchmark carry trade strategies are formed to which the results of the modified strategies are compared. READ MORE

  5. 4. Relationship between currency carry trade and DAX & DJIA

    University essay from Umeå universitet/Företagsekonomi

    Author : Ioanna Nikoli; Md Mosharof Hossain; [2015]
    Keywords : Business Administration; Currency carry; DAX; DJIA; EGARCH [1; 1]; Finance; Granger; Ioanna; Mosharof; VAR; Umeå;

    Abstract : Abstract:   The last decade currency carry trade has gained a lot of popularity because of their apparent profitability. It is a strategy that has been developed to exploit violations of the Uncovered Interest Rate Parity. READ MORE

  6. 5. Optimising Emerging Market Currency Carry Trades using Risk Indicators

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Wiktor Mlynarczyk; Mattias Berggren; [2015]
    Keywords : currency carry trade; emerging markets; risk indicator; valutahandel; tillväxtmarknader; riskindikator;

    Abstract : The currency carry trade – whereby one simultaneously borrows in a currency with low interest rate and invests in a currency with high interest rate – is estimated to be at least USD 2.0 trillion in emerging markets alone. READ MORE