Brunnermeier, Nagel, Pedersen escribieron un paper llamado Carry Trades and Currency Crashes.
This paper studies crash risk of currencies for funding‐constrained speculators in an attempt to shed new light on the major currency puzzles. Our starting point is the currency carry trade, which consists of selling low interest rate currencies—“funding currencies”—and investing in high interest rate currencies—“investment currencies.” While the uncovered interest rate parity (UIP) hypothesizes that the carry gain due to the interest rate differential is offset by a commensurate depreciation of the investment currency, empirically the reverse holds, namely, the investment currency appreciates a little on average, albeit with a low predictive R2 (see, e.g., Fama 1984). This violation of the UIP—often referred to as the “forward premium puzzle”—is precisely what makes the carry trade profitable on average.
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