Publications [#291840] of A. Craig Burnside

Journal Articles

1. Burnside, C; Eichenbaum, M; Rebelo, S, Carry trade and momentum in currency markets, Annual Review of Financial Economics, vol. 3 no. 1 (November, 2011), pp. 511-535, ANNUAL REVIEWS, ISSN 1941-1367 [annurev-financial-102710-144913], [doi]
   (last updated on 2026/01/15)

   Abstract:
   We examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are being compensated for bearing risk. The second is that these strategies are vulnerable to rare disasters or peso problems. The third is that there is price pressure in currency markets. © 2011 by Annual Reviews. All rights reserved.