10. Carry Trades and Risk

  1. Jessica James,
  2. Ian W. Marsh3 and
  3. Lucio Sarno3,4
  1. Craig Burnside1,2,4

Published Online: 8 OCT 2012

DOI: 10.1002/9781118445785.ch10

Handbook of Exchange Rates

Handbook of Exchange Rates

How to Cite

Burnside, C. (2012) Carry Trades and Risk, in Handbook of Exchange Rates (eds J. James, I. W. Marsh and L. Sarno), John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118445785.ch10

Editor Information

  1. 3

    Cass Business School, London, UK

  2. 4

    CEPR, UK

Author Information

  1. 1

    Department of Economics, Duke University, Durham, NC, USA

  2. 2

    NBER, USA

  3. 4

    CEPR, UK

Publication History

  1. Published Online: 8 OCT 2012
  2. Published Print: 14 JUN 2012

ISBN Information

Print ISBN: 9780470768839

Online ISBN: 9781118445785

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Keywords:

  • carry trades/risk, time-varying risk and rare events;
  • the carry trade, measuring the returns;
  • the carry trade, and pricing of returns;
  • factors derived from currency returns;
  • carry-trade returns and investor out-of-sample events

Summary

This chapter contains sections titled:

  • Introduction

  • The Carry Trade: Basic Facts

  • Pricing the Returns to the Carry Trade

  • Empirical Findings

  • Time-Varying Risk and Rare Events

  • Conclusion

  • Acknowledgments

  • References