Browsing by Author "Smit, Steven"

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    The Impact of the Carry Trade on Global Currency Markets
    (2019) Smit, Steven; Pienaar, Etienne; Polakow, Daniel
    This work analyses the effect of the carry trade factor, statistically derived from a comprehensive basket of currencies, on currencies in various heuristically defined global risk appetite regimes. Findings of a heightened (lessened) impact of this factor for Emerging/Commodity (Developed/European) currencies in the presence of high risk are presented. The risk appetite process is additionally analysed by modelling it as a Markov-switching model, providing evidence of three inherent regimes, with properties roughly consistent with findings in the literature.