141,397 research outputs found
Leveraged Carry Trade Portfolios
No full textStudying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the hypothesis of uncovered interest rate parity. We explain these findings with the leveraged nature of carry trade: leverage may increase profitability but it materially increases downside risk. We argue that market inefficiency is related to the level of leverage.Bootstrap, Currency market, Diversification, Leverage, Uncovered interest rate parity
The Time-Varying Systematic Risk of Carry Trade Strategies
No full textThis paper suggests a factor model for carry trade strategies where the regression coefficients are allowed to depend on market volatility and liquidity. Empirical results on daily data from 1995 to 2008 show that a typical carry trade strategy has much higher exposure to the stock market and also more mean reversion in volatile periods - and that FX market volatility is a priced risk factor. The findings are robust to various extensions, including using more currencies and other proxies for volatility and liquidity (VIX, TED and a bid-ask spread).carry trade, factor model, smooth transition regression, time-varying betas
The Time-Varying Systematic Risk of Carry Trade Strategies
No full textWe explain the currency carry trade performance using an asset pricing model in which factor loadings are regime-dependent rather than constant. Empirical results show that a typical carry trade strategy has much higher exposure to the stock market and is mean-reverting in regimes of high FX volatility. The findings are robust to various extensions, including more currencies, longer samples, transaction costs, international stock indices, and other proxies for volatility and liquidity. Our regime-dependent pricing model provides significantly smaller pricing errors than a traditional model. Thus, the carry trade performance is better explained by its time-varying systematic risk that magnifies in volatile markets-suggesting a partial explanation for the Uncovered Interest Rate Parity puzzle.carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas
Net Centric Distribution of Video Signal and Must Carry Rules in the U.S.
No full textWe are moving to a net centric video distribution model. There is thus a need to rethink must carry rules. In this paper we evaluate the process of transition to a model without must carry rules using an organizational change perspective: leadership; engagement and participation; planning and strategy; process; and outcome evaluation. It concludes that the U.S. Federal Communications Commission did not adequately respond to the needs of the sector and the lack of a transition strategy may have impaired the evolution of the video distribution sector towards a business model that can accomplish both access to greater variety as well as the survival of some local station producers.must carry rules, net centric video distribution, FCC.
Relationship between the yen carry trade and the related financial variables
No full textRecently, the yen carry trade has been focused on the international financial market. However, there are few empirical studies on the yen carry trade. This paper investigates the relationship between the yen carry trade and the related financial variables in the US and Japan by the structural vector autoregression (SVAR) model. Our estimation results show that the US stock price has a dominant impact on the activity of the speculative yen carry trade. On the other hand, we found that the interest rate differential between Japan and the US does not have a significant impact on the movement of the carry trade. This result shows that the Bank of JapanÂfs (BOJ) raising the key rate may not make the yen carry trade less attractive. Our results also indicate that if the carry trade unwinds, the depreciation of the dollar against the yen will take place.
How useful is the carry-over effect for short-term economic forecasting?
No full textThe carry-over effect is the advance contribution of the old year to growth in the new year. Among practitioners the informative content of the carry-over effect for short-term forecasting is undisputed and is used routinely in economic forecasting. In this paper, the carry-over effect is analysed 'statistically' and it is shown how it reduces the uncertainty of short-term economic forecasts. This is followed by an empirical analysis of the carry-over effect using simple forecast models as well as Bundesbank and Consensus projections. --forecast uncertainty,growth rates,carry-over effect,variance contribution,Chebyshev density
Letter, [Author unclear] to Paulina T. Merritt
No full textHandwritten letter to Paulina Merritt from an unknown author, October 1, 1876.
Emerging Market Currency Excess Returns
No full textWe discuss the foreign currency forward premium puzzle in the context of 20 internationally tradable emerging market currencies. We find that since the late 1990s the broad basket of emerging market currencies has provided significant equity-like excess returns against a number of major market currencies, but with low volatility. We also find that the forward premium, or carry, is significant in explaining that excess return but that excess returns would still have existed even in the absence of positive carry. Our calculation shows that transactions cost due to bid/offer spreads is substantially lower than commonly supposed in the academic literature.
A low-power geometric mapping co-processor for high-speed graphics application
No full textIn this article we present a novel design of a low-power geometric mapping co-processor that can be used for high-performance graphics system. The processor can carry out any single or a combination of transformations belonging to affine transformation family ranging from 1-D to 3-D. It allows interactive operations which can be defined either by a user (allowing it to be a stand-alone geometric transformation processor) or by a host processor (allowing it to be a co-processor to accelerate certain graphics operations). It occupies a silicon area of 6 mm2 and consumes 40 mW power when synthesized with 0.25?m technology
Swing low, sweet chariot, Coming for to carry me home.
No full textvoiceCollected by Karl T. Gosnell For Mary C. Parler
Sung by Annie Owens Ola, Arkansas November 20, 1958
Reel 274, Item 1
Swing Low, Sweet Chariot
Chorus:
Swing low, sweet chariot,
Coming for to carry me home.
Swing low, sweet chariot,
Coming for to carry me home.
I looked over Jordan and what did I see? Coining for to carry me home,
A band of angels coming after me,
Coming for to carry me home.
(Chorus)
If you get there before I do,
Coming for to carry me home,
Just tell my friends that I'm coming too, Coming for to carry me home.
(Chorus)
I’m sometimes up and I’m sometimes down, Coming for to carry me home,
But still my soul feels heavenly bound, Coming for to carry me home.
(Chorus)Funding for digitization provided by the Arkansas Humanities Council and the Happy Hollow Foundation
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