NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Carry Trade and Momentum in Currency Markets

Craig Burnside, Martin S. Eichenbaum, Sergio Rebelo

NBER Working Paper No. 16942
Issued in April 2011
NBER Program(s):   AP   EFG

We examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are being compensated for bearing risk. The second is that these strategies are vulnerable to rare disasters or peso problems. The third is that there is price pressure in currency markets.

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Document Object Identifier (DOI): 10.3386/w16942

Published: Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2011. "Carry Trade and Momentum in Currency Markets," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 511-535, December. citation courtesy of

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