Carry Trade y Turbulencias Cambiarias con el Peso Chileno

Jose Carreno () and Paulo Cox ()

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: In this paper we provide evidence on the relation between the currency carry trade and currency crashes with the Chilean peso. Using rich information from the local Chilean forward market, we show that speculation over recently high interest rate differentials between the peso and developed countries’ currencies, has led to several episodes of abnormal turbulence, as measured by the exchange rate change distribution’s skewness coefficient. In line with the interpretative framework linking turbulence to changes in the future positions of speculators, we find that turbulence is higher in periods across which measures for global uncertainty have been high.

Date: 2014-07
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:733

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