Carry trade and momentum in currency markets

Burnside, C. , Eichenbaum, M. and Rebelo, S. (2011) Carry trade and momentum in currency markets. Annual Review of Financial Economics, 3(1), pp. 511-535. (doi: 10.1146/annurev-financial-102710-144913)

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We examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are being compensated for bearing risk. The second is that these strategies are vulnerable to rare disasters or peso problems. The third is that there is price pressure in currency markets.

Item Type:Articles
Glasgow Author(s) Enlighten ID:Burnside, Professor Craig
Authors: Burnside, C., Eichenbaum, M., and Rebelo, S.
Subjects:H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Annual Review of Financial Economics
ISSN (Online):1941-1375
Published Online:09 September 2011

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