Risk in carry trades: a look at target currencies in Asia and the Pacific

Jacob Gyntelberg and Eli Remolona

BIS Quarterly Review, 2007

Abstract: We analyse carry trades involving the Australian dollar, Indonesian rupiah, Indian rupee, New Zealand dollar and Philippine peso as target currencies. We find evidence supporting the view that downside risk is an important feature of such strategies and propose ways of measuring this risk.

JEL-codes: F31 G15 G18 N25 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (44)

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Persistent link: https://EconPapers.repec.org/RePEc:bis:bisqtr:0712h

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