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Carry trade and momentum in currency markets

Publication ,  Journal Article
Burnside, C; Eichenbaum, M; Rebelo, S
Published in: Annual Review of Financial Economics
November 16, 2011

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.

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Published In

Annual Review of Financial Economics

DOI

EISSN

1941-1375

ISSN

1941-1367

Publication Date

November 16, 2011

Volume

3

Start / End Page

511 / 535

Related Subject Headings

  • 3502 Banking, finance and investment
 

Citation

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Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry trade and momentum in currency markets. Annual Review of Financial Economics, 3, 511–535. https://doi.org/10.1146/annurev-financial-102710-144913
Burnside, C., M. Eichenbaum, and S. Rebelo. “Carry trade and momentum in currency markets.” Annual Review of Financial Economics 3 (November 16, 2011): 511–35. https://doi.org/10.1146/annurev-financial-102710-144913.
Burnside C, Eichenbaum M, Rebelo S. Carry trade and momentum in currency markets. Annual Review of Financial Economics. 2011 Nov 16;3:511–35.
Burnside, C., et al. “Carry trade and momentum in currency markets.” Annual Review of Financial Economics, vol. 3, Nov. 2011, pp. 511–35. Scopus, doi:10.1146/annurev-financial-102710-144913.
Burnside C, Eichenbaum M, Rebelo S. Carry trade and momentum in currency markets. Annual Review of Financial Economics. 2011 Nov 16;3:511–535.

Published In

Annual Review of Financial Economics

DOI

EISSN

1941-1375

ISSN

1941-1367

Publication Date

November 16, 2011

Volume

3

Start / End Page

511 / 535

Related Subject Headings

  • 3502 Banking, finance and investment