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The Impact of the Carry Trade on Global Currency Markets

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.
Date28 January 2020
CreatorsSmit, Steven
ContributorsPienaar, Etienne, Polakow, Daniel
PublisherFaculty of Science, Department of Statistical Sciences
Source SetsSouth African National ETD Portal
Detected LanguageEnglish
TypeMaster Thesis, Masters, MSc

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