Yield curve risks in currency carry forwards

Autor:	Jeong Wan Lee, Myoungji Lee, Kyong Joo Oh, Seungho Baek
Rok vydání:	2020
Předmět:	Inflation Economics and Econometrics 050208 finance Forward premium anomaly Risk premium media_common.quotation_subject 05 social sciences Monetary economics General Business Management and Accounting Forward contract Bond valuation Currency Carry (investment) Accounting 0502 economics and business Economics Yield curve 050207 economics Finance media_common
Zdroj:	Journal of Futures Markets. 40:651-670
ISSN:	1096-9934 0270-7314
Popis:	We provide empirical evidence that cross‐country yield curve gaps (parallel gap, twist gap, and butterfly gap) are predictive to the expected currency carry premiums using currency forward contracts. We find that the expected currency gains are more notable as these yield curve risk factors at time t indicate short‐term bond prices of investment currencies to go up (positive parallel movement, negative twist, and positive butterfly). We also find carry gains are more sensitively affected by cross‐country monetary shocks than currency‐country inflation pressures and business cycles. Our findings support that cross‐country yield curve risk premiums still exist even after considering transaction costs.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b5ce12c75046d887913449e58e6b37ed https://doi.org/10.1002/fut.22091 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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