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Carry trade e risco cambial : um conto de dois fatores
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Ferreira, Alex Luiz and Moore, Michael J. (2015) Carry trade e risco cambial : um conto de dois fatores. Revista Brasileira de Economia, 69 (4). pp. 429-449. doi:10.5935/0034-7140.20150020
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Official URL: http://dx.doi.org/10.5935/0034-7140.20150020
Abstract
Retornos da estratégia de carry trade tem sido explicados usando-se funções de utilidade inseparáveis no tempo que permitem prêmios de risco voláteis. Tipicamente tais funções mimetizam as preferências de economia fechada que dependem de bens duráveis e não duráveis. Este trabalho retorna a uma classificação mais tradicional, em macroeconomia internacional, de consumo entre bens domésticos e importados. O modelo é aplicado para países que representam 99\% do volume mundial do comércio bilateral de câmbio. Reporta-se uma melhora acentuada na significância dos betas de consumo.
Carry trade returns have been explained using time inseparable utility functions which allow for volatile risk premia. However these functions typically mimic closed economy preferences which depend on durable and non-durable goods. This paper returns to a more traditional classification of consumption, in international macroeconomics, into domestic and importable goods. The model is implemented for countries that represent 99% of the world market turnover in bilateral foreign exchange trades. We report a marked improvement in estimated consumption betas.
| Item Type: | Journal Article | ||||
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| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance |
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| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| Library of Congress Subject Headings (LCSH): | Carry trades (Foreign exchange) , Consumption (Economics) | ||||
| Journal or Publication Title: | Revista Brasileira de Economia | ||||
| Publisher: | Fundacao Getulio Vargas * Editora | ||||
| ISSN: | 0034-7140 | ||||
| Official Date: | 29 June 2015 | ||||
| Dates: |
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| Date of first compliant deposit: | 15 December 2015 | ||||
| Volume: | 69 | ||||
| Number: | 4 | ||||
| Page Range: | pp. 429-449 | ||||
| DOI: | 10.5935/0034-7140.20150020 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Open Access | ||||
| Funder: | Leverhulme Trust (LT) | ||||
| Grant number: | RPG-2013-192 |
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