{"id":78433,"date":"2018-02-20T23:50:30","date_gmt":"2018-02-20T23:50:30","guid":{"rendered":"https:\/\/writemyessayfree.com\/carry-trade"},"modified":"2017-08-18T07:30:23","modified_gmt":"2017-08-18T07:30:23","slug":"carry-trade","status":"publish","type":"post","link":"https:\/\/www.benedictsol.com\/blogs\/carry-trade\/","title":{"rendered":"carry trade"},"content":{"rendered":"<p>Contents<br \/> Abstract 1<br \/> 1. Introduction 3<br \/> 2. Literature Review 3<br \/> 3. Methodology 5<br \/> 3.1. Identification of Currencies and Variables 5<br \/> 3.2. Testing for Unit Root and Cointegration 6<br \/> 3.3. Estimating and Testing the Exchange Rate Model 7<br \/> 3.4. Generating In-Sample Forecasts 7<br \/> 3.5. Calculating Measures of Risk and Return 10<br \/> 3.5.1. Measures of risk 10<br \/> 3.5.2. Measures of risk-adjusted return 11<br \/> 3.6. Comparison: Carry Trade and Forecasting Based Trading 12<br \/> 4. Data and Empirical Results 12<br \/> 4.1. Data, Variables and Specifications 12<br \/> 4.2. The results of the Unit Root Testing 17<br \/> 4.3. Results of Conintegration Testing for PPP and UIP 24<br \/> 4.4. Estimation and Testing the Exchange Rate Model 25<br \/> 4.4. Generating In-Sample Forecasts 27<br \/> 4.5. Calculating the Rates of Return of the Trading Strategies 29<br \/> 4.5. Calculating Measures of Risk and Return 32<br \/> 5. Conclusion 32<br \/> References 33<br \/> Appendices 35<br \/> Appendix 1 \u2013 Raw data 35<br \/> Appendix 2 \u2013 Excel Calculation for Forecasting 36<br \/> Appendix 3 \u2013Trading Spreadsheet Sample 36<br \/> Appendix 4 \u2013 EViews Calcultion for Unit Root and Co-integration 38<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Contents Abstract 1 1. Introduction 3 2. Literature Review 3 3. Methodology 5 3.1. Identification of Currencies and Variables 5 3.2. Testing for Unit Root and Cointegration 6 3.3. Estimating and Testing the Exchange Rate Model 7 3.4. Generating In-Sample <a href=\"https:\/\/www.benedictsol.com\/blogs\/carry-trade\/\" class=\"read-more\">Read More &#8230;<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[],"tags":[],"class_list":["post-78433","post","type-post","status-publish","format-standard","hentry"],"_links":{"self":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts\/78433","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/comments?post=78433"}],"version-history":[{"count":0,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts\/78433\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/media?parent=78433"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/categories?post=78433"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/tags?post=78433"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}