The Returns to Currency Speculation

By Craig Burnside, Martin Eichenbaum, Isaac Kleshchelski, Sergio Rebelo. 2006

219 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/15d3a43431925fc7178062c71f893813cc872d10

Citations in the corpus

• Common Risk Factors in Currency Markets (2011, unknown): “There is no evidence that time-varying bid-ask spreads can account for the failure of UIP in these data or that currency excess returns are small in developed countries, as suggested by Burnside et al. (2006).”
• Forward and Spot Exchange Rates in a Multi-Currency World* (2018, unknown): “See Burnside et al. (2006) for a discussion. However, bid-ask spreads reported on Datastream may be larger than the effective inter-dealer market spreads; see Lyons (2001) and Gilmore and Hayashi (2011). (13)The mean returns on the three underlying trades no longer add up to the mean returns on the ”
• Liquidity in asset markets with search frictions (2007, unknown): “37 The Bellman equation for Vi(a) can be shown to satisfy (6) with κ = α(1 − η) + β.”
• Financial Exchange Rates and International Currency Exposures (2010, unknown): “Philip Lane The Sutherland Centre Arts Block Trinity College Dublin Dublin 2 IRELAND plane@tcd.ie”
• Country Size, Currency Unions, and International Asset Returns (2012, unknown): “Following Burnside et al. (2006), I proxy for differences in liquidity with the difference of the bid and offer rates against the British Pound in the London market (DS), where the liquidity of the British Pound is measured with the bid-ask spread against the US dollar.”
• Investor Overconfidence and the Forward Premium Puzzle (2011, unknown): “Froot and Thaler (1990) and Burnside et al. (2006) provide evidence that market frictions and other practical constraints limit the profitability of trading strategies designed to take advantage of the forward premium anomaly.”
• The new IMF approach to capital account management and its blind spots: lessons from Brazil and South Korea (2014, unknown): “This is a different kind of currency speculation strategy from the canonical carry trade through spot market operations – that is, borrowing low-interest-rate currencies and lending high-interest-rate currencies (Burnside et al. 2006; Gagnon and Chaboud 2007; Kaltenbrunner 2010).”
• Carry Trade and Momentum in Currency Markets (2011, unknown): “Indeed, Burnside et al. (2006) use a simple portfolio allocation model to show that a hypothetical investor with constant relative risk aversion preferences, and a risk aversion coe"cient of five, would allocate three times as much of his portfolio to diversified carry trades as he would to U.S.”