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Exchange rate regimes, FX liquidity ...

Abankwa, Samuel.

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Exchange rate regimes, FX liquidity risk, and carry trade returns.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Exchange rate regimes, FX liquidity risk, and carry trade returns./
作者:	Abankwa, Samuel.
面頁冊數:	210 p.
附註:	Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.
Contained By:	Dissertation Abstracts International77-10A(E).
標題:	Business administration. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10111863
ISBN:	9781339750408

Exchange rate regimes, FX liquidity risk, and carry trade returns.
Abankwa, Samuel.

Exchange rate regimes, FX liquidity risk, and carry trade returns. - 210 p.

Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.

Thesis (Ph.D.)--The University of North Carolina at Charlotte, 2016.

The dissertation consists of three related topics: FX market-wide liquidity measure and individual currency-pair liquidity co-movements, FX liquidity risk and carry trade returns, and the forward premium puzzle in foreign exchange markets. This is the first study to investigate the effects of FX liquidity risk on carry trade returns using a low frequency liquidity measure. I show that liquidity-based ranking of currency pairs can be used to construct a liquidity risk factor, which helps in explaining the variation of carry trade returns across exchange rate regimes. In a liquidity-adjusted asset pricing framework, I show that the vast majority of variation in carry trade returns during any exchange rate regime can be explained by two risk factors (market risk and liquidity risk) in the FX market. I also document the exposure of high and low interest rate currencies to liquidity risk. The results are further corroborated when the hedge liquidity risk factor is replaced with a non-tradable innovations risk factor. This study also contributes to the extant international finance literature by showing that the negative slope coefficients in Fama's 1984 UIP regressions become positive in low liquidity regimes for high interest rate currencies. This finding helps in explaining the forward premium puzzle in low liquidity regimes. Finally, I document the persistence of the forward premium puzzle for a typical carry trade funding currency (JPY). This lends support to the global usage of the Japanese yen as a funding currency of the carry trade strategy.

ISBN: 9781339750408Subjects--Topical Terms:

3168311
Business administration.

Exchange rate regimes, FX liquidity risk, and carry trade returns.
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500 $a Adviser: Lloyd Blenman.
502 $a Thesis (Ph.D.)--The University of North Carolina at Charlotte, 2016.
520 $a The dissertation consists of three related topics: FX market-wide liquidity measure and individual currency-pair liquidity co-movements, FX liquidity risk and carry trade returns, and the forward premium puzzle in foreign exchange markets. This is the first study to investigate the effects of FX liquidity risk on carry trade returns using a low frequency liquidity measure. I show that liquidity-based ranking of currency pairs can be used to construct a liquidity risk factor, which helps in explaining the variation of carry trade returns across exchange rate regimes. In a liquidity-adjusted asset pricing framework, I show that the vast majority of variation in carry trade returns during any exchange rate regime can be explained by two risk factors (market risk and liquidity risk) in the FX market. I also document the exposure of high and low interest rate currencies to liquidity risk. The results are further corroborated when the hedge liquidity risk factor is replaced with a non-tradable innovations risk factor. This study also contributes to the extant international finance literature by showing that the negative slope coefficients in Fama's 1984 UIP regressions become positive in low liquidity regimes for high interest rate currencies. This finding helps in explaining the forward premium puzzle in low liquidity regimes. Finally, I document the persistence of the forward premium puzzle for a typical carry trade funding currency (JPY). This lends support to the global usage of the Japanese yen as a funding currency of the carry trade strategy.
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