Currency Carry Trades
---- Acknowledgements ----
Paper presented at the NBER International Seminar on Macroeconomics, Amsterdam, June 2010. Taylor has been supported by the Center for the Evolution of the Global Economy at UC Davis and Jordà by DGCYT Grant (SEJ2007-63098-econ); part of this work was completed whilst Taylor was a Houblon-Norman/George Fellow at the Bank of England; all of this research support is gratefully acknowledged. We thank Craig Burnside for sharing his data on risk factors with us. We acknowledge helpful comments from our discussants Robert Cumby and Mark Taylor, and from participants at the ISOM meeting, and we thank De Nederlandsche Bank for their efficient organization and warm hospitality. All errors are ours. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.