Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/15775
Título: Getting the carry trade's jackpot
Outros títulos: finding indicators of Carry Crash
Autor: Laranjo, Vasco
Orientador: Silva, André Castro
Borri, Nicola
Palavras-chave: Carry trade
G10 currencies
Drawdown analysis
Regime indicators
Data de Defesa: Jun-2015
Resumo: This Working Project studies five portfolios of currency carry trades formed with the G10 currencies. Performance varies among strategies and the most basic one presents the worst results. I also study the equity and Pure FX risk factors which can explain the portfolios’ returns. Equity factors do not explain these returns while the Pure FX do for some of the strategies. Downside risk measures indicate the importance of using regime indicators to avoid losses. I conclude that although using VAR and threshold regression models with a variety of regime indicators do not allow the perception of different regimes, with a defined exogenous threshold on real exchange rates, an indicator of liquidity and the volatilities of the spot exchange rates it is possible to increase the average returns and reduce drawdowns of the carry trades
URI: http://hdl.handle.net/10362/15775
Designação: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Aparece nas colecções:NSBE: Nova SBE - MA Dissertations

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