Risk in Carry Trades: A Look at Target Currencies in Asia and the Pacific
10 Pages Posted: 7 Jul 2012
Date Written: December 10, 2007
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: Suggested Citation