Carry Trade and Currency Crash Risk
Focusing on dollar-lira trading, the paper shows that higher crash risk significantly increases carry trade expected returns, accounting for 46–77% of compensation through Shapley decomposition.
Featured in No. 132 on 25 Sep 2026 · 8 days after release
- Released
- 17 Sep 2026
- First featured
- No. 132 · 25 Sep 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- RePEc:cpr:ceprdp:20745
- Authors
- Merve Mavus Kutuk and Sweder van Wijnbergen
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).