“...This paper empirically analyzes international financial flows using data from 2000 to 2016. Using a factor model to calculate a proxy for global interest...”

“...Currency carry trades exploiting violations of uncovered interest rate parity in G10 currencies deliver significant excess returns with annualized Sharpe...”

“...We study the validity of uncovered interest-rate parity by constructing ultra-long time series that span two centuries. The forward-premium regressions yield...”

“...Studying all possible pairs of 11 major currencies and 11 portfolios in 1976–2008 we show that, when there is no leverage, carry trade is significantly...”

“...We study the effects of U.S. monetary policy shocks on the bilateral exchange rate between the U.S. and each of the G7 countries. We also estimate deviations...”

“...This paper introduces a theoretical framework for liquidity management under fixed exchange rate arrangement, derived from the price-specie flow mechanism of...”

“...•We explore the profitability of carry trades using an endogenous regime switching model.•Carry trades are profitable in a regime where exchange rate...”

“...In this paper, we examine whether risk premiums are significant in explaining the deviations from the uncovered interest rate parity (UIP) condition in an...”

“...•We introduce boundedly-rational expectations into an asset-pricing model of the exchange rate.•Agents augment a lagged-information random walk forecast with...”

“...Most of the earlier empirical studies focusing on developed countries failed to give evidence in favor of the Uncovered Interest Rate Parity (UIP). After...”