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Working Paper
Carry Trades and Currency Crashes
November 1, 2008
Is there a strong link between a currency carry strategy and crash risk? We find that investing in high-interest-rate currencies while borrowing in low-interest-rate currencies delivers negatively skewed returns.
Journal Article
Carry
November 7, 2013
An asset’s “carry” is its expected return assuming that market conditions, including its price, stay the same. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes.
Journal Article
Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves
April 2, 2013
The 2007‒2009 global financial crisis led to rapid accumulation of foreign reserves in both developed and emerging countries and triggered discussions of how these reserves should be managed.
Working Paper
Trade, Exchange-Rate Exposure and the Currency Composition of Debt
December 1, 2012
Using a firm-level dataset of traded Mexican firms, this paper develops a quantitative structural model of trade and the currency composition of debt for firms in a small open economy with exchange rate risk.
Journal Article
The Canadian Dollar as a Reserve Currency
April 2, 2014
A clear reflection of Canada’s relative economic resilience during the global financial crisis of 2007‒2009 is the growth in the share of foreign exchange reserves that other countries hold in Canadian-dollar securities, particularly those issued by the Government of Canada.
Journal Article
Optimal Currency Hedging for International Equity Portfolios
October 18, 2018
We explore currency exposures in international equity portfolios by decomposing the optimal currency portfolio into a “hedge portfolio,” which minimizes equity volatility, and an “alpha seeking portfolio” based on the well-documented currency styles of value, momentum and carry.
Working Paper
Risk Everywhere: Modeling and Managing Volatility
January 26, 2016
This paper finds similarities in realized volatility patterns across assets and asset classes, based on a high-frequency dataset for more than 50 commodities, currencies, equity indices and fixed income instruments spanning more than two decades.
Working Paper
Beyond Basis Basics: Leverage Demand and Deviations from the Law of One Price
February 7, 2020
Bases are driven by intermediaries’ cost of capital and the amount of leverage demand for an asset. Focusing on leverage demand, we find bases negatively predict futures and spot market returns with the same sign in both global equities and currencies.
Journal Article
Euro Swap Spreads
September 1, 2004
The Euro swaps market is among the largest financial markets in the world.