Do currency fundamentals matter for currency speculators? /

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Bibliographic Details
Author / Creator:	Nozaki, Masahiro, author.
Imprint:	Washington, D.C. : International Monetary Fund, ©2010.
Description:	1 online resource (33 pages) : color illustrations
Language:	English
Series:	IMF working paper ; WP/10/39 IMF working paper ; WP/10/39.
Subject:	Foreign exchange futures -- Econometric models. Foreign exchange rates -- Econometric models. Currency question -- Econometric models. Risk -- Econometric models. Currency question -- Econometric models. Foreign exchange futures -- Econometric models. Foreign exchange rates -- Econometric models. Risk -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12498404

Hidden Bibliographic Details
Other authors / contributors:	International Monetary Fund. Western Hemisphere Department, issuing body.
ISBN:	1283563150 9781283563154 9781451962864 145196286X
Notes:	Includes bibliographical references (pages 32-33). Print version record.
Summary:	The answer seems affirmative. We compare currency carry trades with an investment strategy based on currency fundamentals: taking a long (short) position in undervalued (overvalued) currencies. Carry trades have high risk-adjusted returns, but are subject to "crash risk." In contrast, the fundamental strategy has lower risk-adjusted returns, but is less prone to crash risk, because the realization of crash risk coincides with corrections towards fundamentals. In particular, the fundamental strategy outperformed carry trades during the recent global financial crisis. Building on these results, we present early warning indicators for potential turbulence in the currency market.
Other form:	Print version: Nozaki, Masahiro. Do currency fundamentals matter for currency speculators? [Washington, D.C.] : International Monetary Fund, ©2010

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