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The Impact of the Carry Trade on Global Currency Markets
This work analyses the effect of the carry trade factor, statistically derived from a comprehensive basket of currencies, on currencies in various heuristically defined global risk appetite regimes. Findings of a heightened (lessened) impact of this factor for Emerging/Commodity (Developed/European)...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2020
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| _version_ | 1867613326265024512 |
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| access_status_str | Open Access |
| author | Smit, Steven |
| author2 | Pienaar, Etienne |
| author_browse | Pienaar, Etienne Smit, Steven |
| author_facet | Pienaar, Etienne Smit, Steven |
| author_sort | Smit, Steven |
| collection | Thesis |
| description | This work analyses the effect of the carry trade factor, statistically derived from a comprehensive basket of currencies, on currencies in various heuristically defined global risk appetite regimes. Findings of a heightened (lessened) impact of this factor for Emerging/Commodity (Developed/European) currencies in the presence of high risk are presented. The risk appetite process is additionally analysed by modelling it as a Markov-switching model, providing evidence of three inherent regimes, with properties roughly consistent with findings in the literature. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/30991 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:20.437Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/30991 The Impact of the Carry Trade on Global Currency Markets Smit, Steven Pienaar, Etienne Polakow, Daniel Mathematical Statistics This work analyses the effect of the carry trade factor, statistically derived from a comprehensive basket of currencies, on currencies in various heuristically defined global risk appetite regimes. Findings of a heightened (lessened) impact of this factor for Emerging/Commodity (Developed/European) currencies in the presence of high risk are presented. The risk appetite process is additionally analysed by modelling it as a Markov-switching model, providing evidence of three inherent regimes, with properties roughly consistent with findings in the literature. 2020-02-11T09:15:09Z 2020-02-11T09:15:09Z 2019 2020-01-28T11:24:52Z Master Thesis Masters MSc http://hdl.handle.net/11427/30991 eng application/pdf Department of Statistical Sciences Faculty of Science |
| spellingShingle | Mathematical Statistics Smit, Steven The Impact of the Carry Trade on Global Currency Markets |
| thesis_degree_str | Master's |
| title | The Impact of the Carry Trade on Global Currency Markets |
| title_full | The Impact of the Carry Trade on Global Currency Markets |
| title_fullStr | The Impact of the Carry Trade on Global Currency Markets |
| title_full_unstemmed | The Impact of the Carry Trade on Global Currency Markets |
| title_short | The Impact of the Carry Trade on Global Currency Markets |
| title_sort | impact of the carry trade on global currency markets |
| topic | Mathematical Statistics |
| url | http://hdl.handle.net/11427/30991 |
| work_keys_str_mv | AT smitsteven theimpactofthecarrytradeonglobalcurrencymarkets AT smitsteven impactofthecarrytradeonglobalcurrencymarkets |