Currency returns and systematic risk

Gonçalves, Fernanda; Ferreira, Giuliano; Ferreira, Aline Alves; Scatimburgo, Pedro

doi:10.1111/manc.12416

Cited by 2 publications

(2 citation statements)

References 90 publications

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“…. As highlighted by Gonçalves et al (2022), CT consists of taking long positions in currencies with high nominal interest rates and short positions in currencies with low nominal interest rates. This strategy yields a positive return if the depreciation of the high-interest rate currency is not sufficient to offset the interest rate differential.…”

Section: Stmentioning

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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Section: Stmentioning

confidence: 99%

Fundamental sources of risk and the decline of carry trade returns

Ferreira

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“…For a comprehensive overview of this issue in equity literature, refer to the works of Cochrane (2017), Savov (2011), Constantinides and Duffie (1996), Epstein and Zin (1991), Constantinides (1990). Similarly, in the foreign exchange literature, researchers such as Gonçalves et al (2022), Ferreira and Moore (2015), Burnside (2011), Lustig and Verdelhan (2011) have also acknowledged and discussed this issue. Yogo (2006) provides a seminal contribution.…”

Section: Introductionmentioning

confidence: 99%

Asset pricing with nonlinear consumption services

Morais

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Currency returns and systematic risk

Cited by 2 publications

References 90 publications

Fundamental sources of risk and the decline of carry trade returns

Fundamental sources of risk and the decline of carry trade returns

Asset pricing with nonlinear consumption services

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