Exchange Rates, Interest Rates and the Global Carry Trade

We empirically examine how the global carry trade affects the dynamics of spot exchange rates and interest rates across 13 countries from 2000, through the world financial crisis, until the end of 2011. Our model identifies the weekly carry trade position in each currency by matching data on forex t...

Full description

Saved in:
Bibliographic details
Main Author: Evans, Martin D. D
Rime, Dagfinn
Format: Paper
Language: English
Place of publication: Norges Bank 2017
Data of publication: 2017
ISBN: 9788275539944
ISSN: 1502-8190
Bibliography: 66
Working Papers;14/2017
Online Access: available in Bonn?
Database: Brage Consortium Repository
Database information Databases - DBIS