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An Examination Of G10 Carry Trade During Non-Crisis And Crisis Period (2007-2009), Charles Kwame Armah Danso
An Examination Of G10 Carry Trade During Non-Crisis And Crisis Period (2007-2009), Charles Kwame Armah Danso
Theses and Dissertations - UTB/UTPA
Carry trading is a form of currency trading in which an investor buys assets in a higher interest yielding currency by borrowing in a low interest yielding currency without hedging for exchange risk. I seek to compare and contrast the performance of carry trade strategy before and after the financial crisis (2007-2009). I also compare and contrast how the carry trade strategy and covered interest rate arbitrage fare in different periods. Carry traders do not hedge their position using forward rates whereas covered interest rate arbitrageurs do hedge their position using forward rates. A comparison of the two trading strategies …
Essays On Foreign Currency Risk Management, Sungjae Francis Kim
Essays On Foreign Currency Risk Management, Sungjae Francis Kim
LSU Doctoral Dissertations
This dissertation studies on-balance-sheet and off-balance-sheet foreign currency risk management of corporate firms and commercial banks. It is comprised of two essays. The first essay investigates what determines firms’ foreign currency spot net asset positions, derivatives hedging and synthetic hedging positions. We build a model that anticipates a firm’s market timing in currency markets and credit markets according to the exchange-rate return and interest rate differential. Using a unique set of data containing complete foreign currency spot and derivatives positions of Korean exporting firms, we empirically find that currency position-squaring firms have significantly higher firm value. We also find evidence …