Carry Trades and Currency Crashes

By Markus K. Brunnermeier, Stefan Nagel, Lasse Heje Pedersen. NBER macroeconomics annual, 2008

1,035 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6200cf1fc69d0c50073ca10e00f0a17f1c42b02d

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Citations in the corpus

Variance Risk Premiums and the Forward Premium Puzzle (2012, neutral): “Using different methodologies, Farhi, Fraiberger, Gabaix, Ranciere, and Verdelhan (2009), Jurek (2009), and Brunnermeier, Nagel, and Pedersen (2008) relate the high observed prices of currency options to the desire of agents to hedge rare and severe changes in exchange rate movements and find that…”
Do Peso Problems Explain the Returns to the Carry Trade (2011, background): “In related work Brunnermeier, Nagel, and Pedersen (2008) emphasize the importance of crash-related risk.”
Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle (2012, background): “This is consistent with the description that for the high interest rate (investment) currency “exchange rates go up by the stairs and down by the elevator” (see Brunnermeier et al. (2008)).”
Understanding FX Liquidity (2015, background): “Empirically, Brunnermeier, Nagel, and Pedersen (2009) show that financial crises are typically associated with unwinding carry trade and liquidity drops, and Mancini, Ranaldo, and Wrampelmeyer (2013) show that after the Lehman bankruptcy, even the nine most liquid FX rates suffered from sharp…”
Safe Haven Currencies (2010, neutral): “in Brunnermeier, Nagel, and Pedersen (2008) , we look at the excess performance of ex-”
The Liquidity Premium of Near-Money Assets (2014, background): “Periods of financial market turmoil and market illiquidity tend to coincide with high levels of the VIX index (Adrian and Shin 2010; Bao, Pan, and Wang 2011; Brunnermeier, Nagel, and Pedersen 2008; Longstaff, Pan, Pedersen, and Singleton 2010; Nagel 2012).”
Macroeconomic Determinants of Carry Trade Activity (2012, neutral): “[4] Brunnermeier, M.”
Common Risk Factors in Currency Markets (2011, neutral): “This segment includes papers by Froot and Thaler (1990), Lyons (2001), Gourinchas and Tornell (2004), Bacchetta and van Wincoop (2006), Frankel and Poonawala (2007), Sarno, Leon and Valente (2006), Plantin and Shin (2007), Burnside, Eichenbaum, Kleshchelski and Rebelo (2006), Burnside, Eichenbaum an”
Currency Momentum Strategies (2012, neutral): “While the carry trade produces negatively skewed excess returns (also see Brunnermeier, Nagel, and Pedersen, 2009), we find a slightly positive skewness for the momentum strategy.”
Carry Trades and Risk (2011, background): “He takes inspiration from the literature on currency crashes and liquidity, for example, Brunnermeier, Nagel and Pedersen (2009).”
Forward and Spot Exchange Rates in a Multi-Currency World* (2018, neutral): “Some examples include Brunnermeier et al. (2009), Verdelhan (2010), Ilut (2012), and Bacchetta and Van Wincoop (2010).”