The effect of political risk on currency carry trades

被引：15
|
作者：
Dimic, Nebojsa [1 ]
Orlov, Vitaly [1 ]
Piljak, Vanja [1 ]
机构：
[1] Univ Vaasa, Dept Accounting & Finance, POB 700, FI-65101 Vaasa, Finland
来源：
FINANCE RESEARCH LETTERS | 2016年 / 19卷
关键词：
Political risk; Carry trades; Forward premium puzzle; EXCHANGE-RATES; MARKETS;
D O I：
10.1016/j.frl.2016.06.005
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper explores the risk profile of individual currency carry trades. Findings indicate that carry trade profitability depends on a country's political risk, supporting the risk based view on forward bias. Political risk effect originates as a component of government actions and is more pronounced in emerging economies and in countries with high interest differentials. (C) 2016 Elsevier Inc. All rights reserved.
引用
收藏
页码：75 / 78
页数：4
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