Carry trade and momentum in currency markets
By: Craig Burnside, Martin S. Eichenbaum, Sergio Rebelo
Contributors: Eichenbaum, Martin S.; Rebelo, Sergio; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16942; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16942.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/16/2011.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.