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Carry trade strategy on bonds
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Autores
Orientador(es)
Resumo(s)
This study will contribute to a comprehensive understanding of the carry trade strategy
in the context of bonds. We will extend the application of the carry concept, typically associated
with forex markets, to the bond asset class. Our focus is to delve into the statistical aspects of this
strategy and explore how its performance varies across different types of bonds. Additionally, we
aim to identify and comprehend the factors that have shaped and could continue to influence this
strategy from 2003 to 2023. Our primary objective is to analyze the carry of the slope of the
global yield curve.
Descrição
Palavras-chave
Carry Bonds Carry trade Governative bonds Corporate bonds Emergent country bonds