Do Peso Problems Explain the Returns to the Carry Trade?

作者：Burnside Craig; Eichenbaum Martin; Kleshchelski Isaac; Rebelo Sergio^*

来源：Review of Financial Studies, 2011, 24(3): 853-891.

DOI：10.1093/rfs/hhq138

• F31

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.

• 出版日期2011-3
• 单位西北大学