Do Peso Problems Explain the Returns to the Carry Trade?
NBER Working Paper No. 14054
---- Acknowledgements ----
This paper is a substantially revised version of NBER Working Paper 12489 titled "The Returns to Currency Speculation." We thank the editor, Geert Bekaert, two anonymous referees, John Cochrane, John Heaton, Jakub Jurek, and Ravi Jagannathan for very useful comments. We also thank the Chicago Mercantile Exchange for providing us with the currency-options data used in this paper. Burnside is grateful to the National Science Foundation for financial support (SES-0516697). The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.