The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself

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Beyond the Carry Trade: Optimal Currency Portfolios (2015, background): “…properties of currency momentum, Burnside (2011) examines a combination of carry and momentum, Asness, Moskowitz, and Pederson (2012) study a combination of value and momentum in currencies (and other asset classes), and Jordà and Taylor (2012) combine carry, momentum and the real exchange rate.”
Evaluating the Classification of Economic Activity into Recessions and Expansions (2011, methodology): “…Sources and Calculations This is a summary of the economic indicators, transformations and data sources provided in the appendix of the December 11, 2008 press release of the Business Cycle Dating Committee of the National Bureau of Economic Analysis and available from their website (www.nber.org).”
Carry Trade and Momentum in Currency Markets (2011, background): “Papers that study this strategy include Lustig & Verdelhan (2007), Brunnermeier et al. (2009), Jordà & Taylor (2009), Farhi et al. (2009), Lustig et al. (2009), Ra!erty (2010), Burnside et al. (2011), and Menkho! et al. (2011a).”