The Carry Trade: From 1990 to 2020

Simple item page
dc.contributor.authorBergin, Adam
dc.contributor.authorThorsell, Philip
dc.contributor.departmentUniversity of Gothenburg/Department of Economics
dc.contributor.departmentGöteborgs universitet/Institutionen för nationalekonomi med statistik
dc.contributor.departmentUniversity of Gothenburg/Department of Business Administration
dc.contributor.departmentGöteborgs universitet/Företagsekonomiska institutionen
dc.date.accessioned2020-06-30T12:19:57Z
dc.date.available2020-06-30T12:19:57Z
dc.date.issued2020-06-30
dc.description.abstractThis thesis examines the carry trade movements from 1990 to 2020. The purpose is to evaluate how an actively managed carry trade has behaved during different market conditions. There are two carry portfolios constructed, the first one is an American carry and the second one makes an active decision every month to invest in the largest interest rate differentials. The carry trades are based on nine currencies AUD, CHF, EUR, GBP, JPY, NOK, SEK, USD, and ZAR. The result finds evidence for violation of UIP and that the premium puzzle seems to be in line with findings of previous studies during some periods. During recent years, the study finds that the carry trades are less profitable, although the portfolio Best Carry of All is a viable complement to an investor’s portfolio, due to stable performance even during distressed market conditions.sv
dc.identifier.urihttp://hdl.handle.net/2077/65270
dc.language.isoengsv
dc.relation.ispartofseries202006:304sv
dc.relation.ispartofseriesUppsatssv
dc.setspec.uppsokSocialBehaviourLaw
dc.subjectCarry Tradesv
dc.subjectUIPsv
dc.subjectCIPsv
dc.subjectFX-Marketssv
dc.subjectPremium Puzzlesv
dc.subjectAmerican Carry tradesv
dc.subjectChief dealer back tradesv
dc.titleThe Carry Trade: From 1990 to 2020sv
dc.title.alternativeCarry Trade: Från 1990 till 2020sv
dc.typetext
dc.type.degreeStudent essay
dc.type.uppsokM2

Files

Original bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
gupea_2077_65270_1.pdf
Size:
1.46 MB
Format:
Adobe Portable Document Format
Description:
Thesis frame
Download

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
4.68 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Kandidatuppsatser i finansiell ekonomi