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Evidence of Carry Trade Activity


Alexandra Heath


Reserve Bank of Australia - Economic Research

Gabriele Galati


De Nederlandsche Bank

Patrick McGuire


Bank for International Settlements (BIS)
September 1, 2007

BIS Quarterly Review, September 2007

Abstract:     
Interest rate differentials have been a driving force behind exchange rate movements in recent years. This has focused market attention on the role of currency carry trade positions, and on the possibility that a sudden unwinding might adversely affect financial stability. However, carry trades are notoriously difficult to track in the available data. This special feature first outlines the investor base and trading strategies used in carry trades, and then explores various sources of data to gauge activity.

Number of Pages in PDF File: 15

Keywords: carry trade, BIS banking statistics

JEL Classification: F31, F32, G15

Accepted Paper Series


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Date posted: October 19, 2009 ; Last revised: March 11, 2012

Suggested Citation

Heath, Alexandra, Galati, Gabriele and McGuire, Patrick M., Evidence of Carry Trade Activity (September 1, 2007). BIS Quarterly Review, September 2007. Available at SSRN: http://ssrn.com/abstract=1490984

Contact Information

Alexandra Heath
Reserve Bank of Australia - Economic Research ( email )
GPO Box 3947
Sydney, NSW 2001
Australia
Gabriele Galati
De Nederlandsche Bank ( email )
PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

Patrick M. McGuire (Contact Author)
Bank for International Settlements (BIS) ( email )
CH-4002 Basel
Switzerland
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