Currency Carry Trade Regimes: Beyond the Fama Regression
---- Acknowledgements ----
We would like to thank Vineer Bhansali for stimulating and renewing our interest in this topic. We thank our discussant and participants at the Warwick/JIMF conference on the Global Financial Crisis(2009) for valuable suggestions and comments. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.