Countercyclical currency risk premia
We describe a novel currency investment strategy, the ‘dollar carry trade,’ which delivers large excess returns, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these excess returns compensate U.S. investors for taking on...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
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Elsevier
2018
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| Online Access: | http://hdl.handle.net/1721.1/114867 https://orcid.org/0000-0002-0319-5531 |