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Risk in Carry Trades: A Look at Target Currencies in Asia and the Pacific


Jacob Gyntelberg


Bank for International Settlements (BIS) - Monetary and Economic Department

Eli M. Remolona


Bank for International Settlements (BIS) - Monetary and Economic Department
December 10, 2007

BIS Quarterly Review, December 2007

Abstract:     
We analyse carry trades involving the Australian dollar, Indonesian rupiah, Indian rupee, New Zealand dollar and Philippine peso as target currencies. We find evidence supporting the view that downside risk is an important feature of such strategies and propose ways of measuring this risk.

Number of Pages in PDF File: 10

JEL Classification: F310, G150, G180, N250

Accepted Paper Series


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Date posted: December 8, 2009  

Suggested Citation

Gyntelberg, Jacob and Remolona, Eli M., Risk in Carry Trades: A Look at Target Currencies in Asia and the Pacific (December 10, 2007). BIS Quarterly Review, December 2007. Available at SSRN: http://ssrn.com/abstract=1519949

Contact Information

Jacob Gyntelberg (Contact Author)
Bank for International Settlements (BIS) - Monetary and Economic Department ( email )
Centralbahnplatz 2
CH-4002 Basel
Switzerland
Eli M. Remolona
Bank for International Settlements (BIS) - Monetary and Economic Department ( email )
Centralbahnplatz 2
CH-4002 Basle
Switzerland
+41 61 280 8414 (Phone)
+41 61 280 8100 (Fax)
Feedback to SSRN (Beta)


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