Carry trade and momentum in currency markets

Journal Article (Journal Article)

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. © 2011 by Annual Reviews. All rights reserved.

Full Text

Duke Authors

Cited Authors

  • Burnside, C; Eichenbaum, M; Rebelo, S

Published Date

  • November 16, 2011

Published In

Volume / Issue

  • 3 /

Start / End Page

  • 511 - 535

Electronic International Standard Serial Number (EISSN)

  • 1941-1375

International Standard Serial Number (ISSN)

  • 1941-1367

Digital Object Identifier (DOI)

  • 10.1146/annurev-financial-102710-144913

Citation Source

  • Scopus