The Impact of the Carry Trade on Global Currency Markets

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dc.contributor.advisorPienaar, Etienne
dc.contributor.advisorPolakow, Daniel
dc.contributor.authorSmit, Steven
dc.date.accessioned2020-02-11T09:15:09Z
dc.date.available2020-02-11T09:15:09Z
dc.date.issued2019
dc.date.updated2020-01-28T11:24:52Z
dc.description.abstractThis 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.
dc.identifier.apacitationSmit, S. (2019). <i>The Impact of the Carry Trade on Global Currency Markets</i>. (). ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/30991en_ZA
dc.identifier.chicagocitationSmit, Steven. <i>"The Impact of the Carry Trade on Global Currency Markets."</i> ., ,Faculty of Science ,Department of Statistical Sciences, 2019. http://hdl.handle.net/11427/30991en_ZA
dc.identifier.citationSmit, S. 2019. The Impact of the Carry Trade on Global Currency Markets.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Smit, Steven AB - 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. DA - 2019 DB - OpenUCT DP - University of Cape Town KW - Mathematical Statistics LK - https://open.uct.ac.za PY - 2019 T1 - The Impact of the Carry Trade on Global Currency Markets TI - The Impact of the Carry Trade on Global Currency Markets UR - http://hdl.handle.net/11427/30991 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/30991
dc.identifier.vancouvercitationSmit S. The Impact of the Carry Trade on Global Currency Markets. []. ,Faculty of Science ,Department of Statistical Sciences, 2019 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/30991en_ZA
dc.language.rfc3066eng
dc.publisher.departmentDepartment of Statistical Sciences
dc.publisher.facultyFaculty of Science
dc.subjectMathematical Statistics
dc.titleThe Impact of the Carry Trade on Global Currency Markets
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMSc
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