Do peso problems explain the returns to the carry trade?
Publication
, Journal Article
Burnside, C; Eichenbaum, M; Kleshchelski, I; Rebelo, S
Published in: Review of Financial Studies
March 1, 2011
We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average large and uncorrelated with traditional risk factors. We argue that these payoffs reflect a peso problem. The underlying peso event features high values of the stochastic discount factor rather than very large negative payoffs. © 2010 The Author Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved.
Duke Scholars
Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
March 1, 2011
Volume
24
Issue
3
Start / End Page
853 / 891
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory
Citation
APA
Chicago
ICMJE
MLA
NLM
Burnside, C., Eichenbaum, M., Kleshchelski, I., & Rebelo, S. (2011). Do peso problems explain the returns to the carry trade? Review of Financial Studies, 24(3), 853–891. https://doi.org/10.1093/rfs/hhq138
Burnside, C., M. Eichenbaum, I. Kleshchelski, and S. Rebelo. “Do peso problems explain the returns to the carry trade?” Review of Financial Studies 24, no. 3 (March 1, 2011): 853–91. https://doi.org/10.1093/rfs/hhq138.
Burnside C, Eichenbaum M, Kleshchelski I, Rebelo S. Do peso problems explain the returns to the carry trade? Review of Financial Studies. 2011 Mar 1;24(3):853–91.
Burnside, C., et al. “Do peso problems explain the returns to the carry trade?” Review of Financial Studies, vol. 24, no. 3, Mar. 2011, pp. 853–91. Scopus, doi:10.1093/rfs/hhq138.
Burnside C, Eichenbaum M, Kleshchelski I, Rebelo S. Do peso problems explain the returns to the carry trade? Review of Financial Studies. 2011 Mar 1;24(3):853–891.
Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
March 1, 2011
Volume
24
Issue
3
Start / End Page
853 / 891
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory