Effects of Commodities and Stocks on Currency Carry Trades
March 13, 2014 - Commodity Futures, Currency Trading
Are currency traders the last ones to know? In the February 2014 draft of their paper entitled “Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities”, Helen Lu and Ben Jacobsen investigate whether commodity and stock index returns predict currency carry trade performance. They consider equally weighted carry trade strategies that each month buy (sell) one-month forward… Keep Reading