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

10 Pages Posted: 7 Jul 2012

See all articles by Jacob Gyntelberg

Jacob Gyntelberg

Nordea Group; University of Copenhagen - Department of Economics

Eli M. Remolona

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

Date Written: December 10, 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.

JEL Classification: F310, G150, G180, N250

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: https://ssrn.com/abstract=1519949

Jacob Gyntelberg (Contact Author)

Nordea Group ( email )

Grønjordsvej 10
Copenhagen, DK - 2300
Denmark

University of Copenhagen - Department of Economics ( email )

Øster Farimagsgade 5, Bygn 26
Copenhagen, 1353
Denmark

Eli M. Remolona

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

IFC 2 Bldg, 78/F
Central
Hong Kong
Hong Kong
+852 2982 7150 (Phone)
+852 2982 7123 (Fax)

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