Carry trade in currencies
13 papers on carry trade in currencies as a systematic trading strategy. Carry trade papers on exchange rates and currency pairs: 13 of the 17 in carry trade. 5 name a method, most often linear factor models (3). The most cited is Detecting Crowded Trades in Currency Funds (2009).
Papers132009–2026
Share of the family76 %13 of 17
| cited by | method | ||
|---|---|---|---|
| Detecting Crowded Trades in Currency Funds by Pojarliev and Levich | 13 | 2009 | |
| Countercyclical Currency Risk Premia by Lustig et al. | 4 | 2010 | |
| Global Currency Misalignments, Crash Sensitivity, and Moment Risk Premia by Huang and MacDonald | 2 | Linear factor models | 2014 |
| Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades by Ames et al. | 2 | 2014 | |
| Carry Trades and Monetary Conditions by Falconio | 1 | 2016 | |
| Carry Trade and Systemic Risk: Why are FX Options So Cheap? by Caballero and Doyle | 1 | 2012 | |
| Information-Geometric Phase Transitions in Currency Markets: Curvature-Driven Detection and Early Warning of Carry Trade Crashes in USD/JPY by Shah and Solanki | 0 | State-space models +1 | 2026 |
| Timing Currency Factors with Machine Learning by Török | 0 | Tree ensembles +1 | 2026 |
| The Impact of Currency Carry Trade Activity on the Transmission of Monetary Policy by Böck et al. | 0 | Classical time series | 2023 |
| The Term Structure of Exchange Rate Predictability: Commonality, Scapegoat, and Disagreement by Huang | 0 | 2015 | |
| The Cross-Section of Currency Volatility by Rasekhschaffe | 0 | Linear factor models | 2012 |
| Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence by Ames et al. | 2014 | ||
| Do Currency Fundamentals Matter for Currency Speculators? by Nozaki | 2010 |
Papers on carry trade in currencies from other families
1 paper| filed under | ||
|---|---|---|
| Global Variance Risk Premium and Forex Return Predictability by Aloosh | Volatility risk premium | 2012 |