Carry Trade e Risco Cambial: um Conto de Dois Fatores

Ferreira, Aline Alves; Moore, Michael J.

doi:10.5935/0034-7140.20150020

Cited by 3 publications

(4 citation statements)

References 7 publications

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“…From 2008:Q4 to 2019:Q4, developed countries (low interest rates) were more affected than developing countries (high interest rates) by the GFC and the Eurozone crisis of 2010-2013, increasing the degree of uncertainty associated with your business cycles. The higher volatility of consumption of imported goods when compared to consumption of domestic goods in the US economy also plays a role in explaining currency excess returns (Ferreira & Moore, 2015). The consumption of imported goods is more affected than that of domestic goods by shocks in the business cycles of foreign economies.…”

Section: Risk Factors and Business Cyclesmentioning

confidence: 99%

“…There is a growing number of papers that provide related risk‐based explanations to the forward premium puzzle and the high average payoffs from FX returns (see, among others, Burnside et al., 2010; Della Corte et al., 2019; Ferreira & Matos, 2020; Ferreira & Moore, 2015; Hassan, 2013; Ready et al., 2017). Many rely on building currency portfolios.…”

Section: Introductionmentioning

confidence: 99%

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Currency returns and systematic risk

Gonçalves¹,

Ferreira

et al. 2022

The Manchester School

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We investigate the relationship between currency excess returns and Gross Domestic Product (GDP) in a Consumption Capital Asset Pricing Model. GDPs are observable systematic risk factors in our asset pricing equations. The correlation between the unobservable systematic factors is explored by Seemingly Unrelated Regressions estimations. The sample comprises the period from 1999:M01 to 2019:M12 and 48 countries. Results show that GDP growth risk is significant for most currency pairs and portfolios.We also find that they are priced in the cross-section of excess returns. Furthermore, currency returns are directly affected by regional business cycles (Europe, America, and

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Section: Risk Factors and Business Cyclesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Currency returns and systematic risk

Gonçalves¹,

Ferreira

et al. 2022

The Manchester School

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“…Como ressaltado pelos autores, a escolha de amostras de países, períodos e frequências adequadas resultou em maior eficiência na estimação dos parâmetros. (FERREIRA;MOORE, 2015).…”

Section: Revisão Bibliográficaunclassified

Risco cambial num sistema de equações com choques correlacionados

Gonçalves¹

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“…The author argues that this distinction is underlies the deviations from the UIP. In a related vein, Ferreira and Moore (2015) explore the role of foreign bonds in providing insurance against variations in prices of imported goods. Ferreira and Matos (2020) go further and argue that precautionary savings in foreign bonds is associated with the variability of future consumption.…”

Section: Currency Excess Returnsmentioning

confidence: 99%

Fundamental sources of risk and the decline of carry trade returns

Ferreira

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This work is the result of the support and support of many people who were and are part of a trajectory built over these years of academic and professional training. I cannot fail to mention the contribution of my family, my supervisor, friends, teachers and employees, the funding received and, above all, God.To my parents Aurea and Anibal, to my brothers, especially Paulo, Marcus, Leandro and Denise, my pillars on this journey. This achievement reflects a joint effort and is the materialization of support, understanding, patience and support given by them.To all my friends, especially to all colleagues at PPGE FEA-RP who helped me during the PHD course.To PPGE FEA-RP and my supervisor, Alex Ferreira, for all the support and commitment that were essential for the conclusion of this research. I also thank Professors Miguel Léon-Ledesma and Rory Mullen for their contributions to this work.I would also like to thank all the professors who were part of my academic career for all the knowledge passed on and the FEA-RP Postgraduate team for all the assistance provided, especially Selma from the Economics Department Office.This study was financed in part by the Coordenação de Aperfeiçoamento de Pessoal de Nível Superior -Brasil (CAPES) -Finance Code 001. Fontes fundamentais de risco e o declinio dos retornos do carry trade ResumoA busca por uma conexão entre as flutuações macroeconômicas e os movimentos nos preços dos ativos é um tema de pesquisa que tem recebido atenção crescente na literatura financeira. A importância de explorar esse tema se estende não apenas aos formuladores de políticas, mas também ao setor financeiro. Nesse contexto, esta pesquisa buscou investigar a relação entre as fontes fundamentais de risco e a precificação de ativos internacionais. Encontramos evidências de que as flutuações na tecnologia específica de investimento, na eficiência marginal do investimento e no crescimento do estoque de moeda são fontes chaves de risco cambial. Desenvolvemos um modelo DSGE de economia aberta no qual esses três processos se tornam fatores de risco que impulsionam os retornos excessivos da moeda. Esses novos fatores provam ser empiricamente relevantes para precificar retornos em excesso de moeda. Os preços de risco associados a estes fatores são positivos e significativos. Descobrimos que moedas de países com baixos níveis de tecnologia específica de investimento, baixos níveis de eficiência marginal de investimento e altas taxas de crescimento monetário obtêm retornos excedentes mais altos. Além disso, mostramos que moedas de países com baixa exposição ao componente global dos três processos obtêm maiores retornos em excesso. Nossa evidência empírica considera tanto a seção cruzada de retornos excessivos médios (portfólios) quanto os retornos de moedas individuais. Finalmente, também encontramos algumas evidências de que nossos fatores de risco propostos também podem explicar o excesso de retornos de ações estrangeiras. Palavras chave: Carry Trade,

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Carry Trade e Risco Cambial: um Conto de Dois Fatores

Cited by 3 publications

References 7 publications

Currency returns and systematic risk

Currency returns and systematic risk

Risco cambial num sistema de equações com choques correlacionados

Fundamental sources of risk and the decline of carry trade returns

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