Profitabilities of carry trade strategies

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Profitabilities of carry trade strategies

Identify the periods of significantprofitable carry trade opportunities that existed during your sample and calculate the carry trade profits that would have resulted. Carry trade profits can be represented as a dollar (or other currency) terms, assuming that investors invest a certain amount of money at the beginning of the sample period.

Document the market conditions during these periods (e.g., measures of system stability – exchange rate volatility, stock market volatility, etc.). Check newspaper reports (using Factiva via library’s web access) to see whether actual carry trades during the identified periods have been reported.

In addition, identify the periods when carry trade strategies deliver significant negative returns. To what extent market conditions differ from the period when carry trade strategies deliver positive returns?

Information sources:

  • FRED® database of the Federal Reserve Bank of St. Louis:

https://research.stlouisfed.org/fred2/

  • Central bank web sites of relevant currencies (most provide relevant data for sufficient periods)
  • Web sites of international organizations – OECD, IMF, BIS, etc.
  • International Financial Statistics (On-line database available from Fisher Library’s web site)
  • Newswire and financial newspaper reports (accessible via Factiva database from Fisher Library’s web site)
  • Other Web sources – market commentaries of FX and money market movements

So that is the question. There some key point I want you to pay attention. The file is an excel sheet include all data and graph. We use USD/GBP as exchange rate. Read the instruction carefully before you start writing, and also using the carry trade formula to calculate. Using the graph (Time series of the Devaitions) to analysis market conditions during these periods (eg. difference between predicted exchange rate and actual exchange rate) which you can find in the excel sheet. One of requirement is “Check newspaper reports (using Factiva via library’s web access, google scholar) to see whether actual carry trades during the identified periods have been reported”. If you can not find any news, you have to explain why Nobody did carry trade in that period. Ask me if you have any question.

 

Last Updated on May 15, 2019 by EssayPro