Carry Trades and Global Foreign Exchange Volatility
By Lukas Menkhoff, Lucio Sarno, Maik Schmeling, A. Schrimpf. 2012
748 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/6edbf2c12714bf2a7f9f86433b006fba9bb7c153
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Pasquale Della Corte
- Tarun Ramadorai
- Vladyslav Sushko
- Michael M. Hutchison
- N. Karnaukh
- Asaf Manela
- Paul Schneider
- Lucio Sarno
In Economics and Econometrics
- Pasquale Della Corte
- Christian Wagner
- Paul Schneider
- Tarun Ramadorai
- Michael M. Hutchison
- Lucio Sarno
- Bryan T. Kelly
- Angelo Ranaldo
In Finance
- Pasquale Della Corte
- Vladyslav Sushko
- Tarun Ramadorai
- Michael M. Hutchison
- Bryan T. Kelly
- Asaf Manela
- P. Söderlind
- Thomas Nitschka
Citations in the corpus
- Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, background): “Second is the set of six currency portfolios sorted on momentum from Menkhoff et al. (2012).”
- Impact of macro-economic surprises on carry trade activity (2013, methodology): “Following the methodology of Menkhoff et al. (2012), we rank currencies based on their forward premium/discount vis-à-vis the USD, assuming that the”
- Variance Risk Premiums and the Forward Premium Puzzle (2012, neutral): “In appendix B, we show that (17)The relevance of having heterogeneous exposures to the common factor is acknowledged in Gourio, Siemer, and Verdelhan (2012); Farhi, Fraiberger, Gabaix, Ranciere, and Verdelhan (2009); Backus, Foresi, and Telmer (2001); Lustig, Roussanov, and Verdelhan (2011); and, in”
- A Comprehensive Look at Financial Volatility Prediction by Economic Variables (2011, neutral): “The explanatory variables are: Dividend price ratio* (DP), book to market ratio* (BM), net equity expansion* (NTIS), cross-sectional premium* (CROPR) of Polk, Thompson, and Vuolteenaho (2006), the Pastor and Stambaugh (2003) liquidity factor (LIQ), return on the MSCI World index (MSCI), US market ex”
- Properties of Foreign Exchange Risk Premiums (2012, background): “…and Hodrick (1993), Bansal et al. (1995), Bekaert (1996), Bekaert et al. (1997), Lustig and Verdelhan (2007), Brunnermeier et al. (2008), Farhi and Gabaix (2011), Jurek (2009), Lustig et al. (2011), Verdelhan (2010), Bansal and Shaliastovich (2010), Farhi et al. (2009), and Menkhoff et al. (2011).”
- Volatility Risk Premia and Exchange Rate Predictability (2016, positive): “To mitigate this concern, we follow Menkhoff et al. (2012b) and select the currencies for which the financial openess index of Chinn and Ito (2006) index —a measure of a country’s degree of capital account openness —is greater than or equal to zero.”