Menkhoff and Schmeling are with Leibniz Universität Hannover, Sarno is with Cass Business School, City University London, and the Centre for Economic Policy Research (CEPR), and Schrimpf is with the Bank for International Settlements. The authors would like to thank Campbell Harvey (the Editor), an anonymous Associate Editor, two anonymous referees, Alessandro Beber, Nicole Branger, Francis Breedon, Craig Burnside, Joe Chen, Magnus Dahlquist, Marcel Fratzscher, Mathias Hoffmann, Søren Hvidkjær, Ravi Jagannathan, Ralph Koijen, Hanno Lustig, Pascal Maenhout, Ian Marsh, Tarun Ramadorai, Jesper Rangvid, Nick Roussanov, Carsten Sørensen, and Adrien Verdelhan, as well as participants at the Fifth Amsterdam Asset Pricing Retreat (2009), the Institute of Finance Workshop on International Asset Pricing in Leicester (2010), the European Finance Association 2009 Meetings in Bergen, and the German Economic Association Annual Conference 2009, and seminar participants at the Bank for International Settlements, Bank of England, Deutsche Bundesbank, European Central Bank, New York Federal Reserve Bank, and several universities for helpful comments and suggestions. Sarno acknowledges financial support from the Economic and Social Research Council (No. RES-062-23-2340), Schmeling gratefully acknowledges financial support by the German Research Foundation (DFG), and Schrimpf acknowledges support from ZEW, Mannheim, and from CREATES, funded by the Danish National Research Foundation. Any views expressed in this article are those of the authors and do not necessarily reflect those of the Bank for International Settlements.
Carry Trades and Global Foreign Exchange Volatility
Version of Record online: 27 MAR 2012
© 2012 the American Finance Association
The Journal of Finance
Volume 67, Issue 2, pages 681–718, April 2012
How to Cite
MENKHOFF, L., SARNO, L., SCHMELING, M. and SCHRIMPF, A. (2012), Carry Trades and Global Foreign Exchange Volatility. The Journal of Finance, 67: 681–718. doi: 10.1111/j.1540-6261.2012.01728.x
- Issue online: 27 MAR 2012
- Version of Record online: 27 MAR 2012
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