About this document
Carry Trades and FX Crash Risk Analysis by fredtag4393 is a document available to read on EtoBox.
This document summarizes a study examining drivers of currency crash risk and returns in foreign exchange (FX) markets. The study finds: 1) Currency crash risk increases with interest rate differentials, past currency carry returns, speculator carry trade positions, and decreases with the price of crash insurance. 2) After a currency crash, the price of crash insurance increases even though crash risk decreases, suggesting crash risk is slowly incorporated into prices. 3) Increases in global volatility
- Author
- fredtag4393
- Language
- EN