The Chilean peso exchange-rate carry trade and turbulence
In this study we provide evidence regarding the relationship between the Chilean peso carry trade and currency crashes of the peso against other currencies. Using a rich dataset containing information from the local Chilean forward market, we show that speculation aimed at taking advantage of the recently large interest rate differentials between the peso and developedcountry currencies has led to several episodes of abnormal turbulence, as measured by the exchange-rate distribution’s skewness coefficient. In line with the interpretative framework linking turbulence to changes in the forward positions of speculators, we find that turbulence is higher in periods during which measures of global uncertainty have been particularly high.
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Texto biblioteca |
| Language: | English |
| Published: |
2016-12
|
| Subjects: | MONEDAS, TIPOS DE CAMBIO, INESTABILIDAD MONETARIA, MERCADOS DE DIVISAS, ESPECULACION, CURRENCY, FOREIGN EXCHANGE RATES, CURRENCY INSTABILITY, FOREIGN EXCHANGE MARKETS, SPECULATION, |
| Online Access: | https://hdl.handle.net/11362/41256 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|