NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Do Peso Problems Explain the Returns to the Carry Trade?

A. Craig Burnside, Martin S. Eichenbaum, Isaac Kleshchelski, Sergio Rebelo

NBER Working Paper No. 14054
Issued in June 2008

---- 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.

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