The Chilean peso exchange-rate carry trade and turbulence

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cepal.articleNo4
cepal.bibLevelSección o Parte de un Documento
cepal.callNumberLC/G.2694-P
cepal.docTypeRevistas
cepal.jelCodeE31
cepal.jelCodeF41
cepal.jelCodeG15
cepal.jelCodeE24
cepal.jobNumberRVI120_CoxCarreno
cepal.physicalDescriptiongráficos., tablas.
cepal.regionalOfficeSantiago
cepal.topicEngMACROECONOMICS
cepal.topicSpaMACROECONOMÍA
cepal.workareaEngECONOMIC DEVELOPMENT
cepal.workareaEngINTERNATIONAL TRADE AND INTEGRATION
cepal.workareaSpaCOMERCIO INTERNACIONAL E INTEGRACIÓN
cepal.workareaSpaDESARROLLO ECONÓMICO
dc.contributor.authorCox, Paulo
dc.contributor.authorCarreño, José Gabriel
dc.coverage.spatialEngCHILE
dc.coverage.spatialSpaCHILE
dc.date.accessioned2017-04-25T14:39:16Z
dc.date.available2017-04-25T14:39:16Z
dc.date.issued2016-12
dc.description.abstractIn this study we provide evidence regarding the relationship between the Chilean peso carry trade and currency crashes of the peso against other currencies. Using a rich dataset containing information from the local Chilean forward market, we show that speculation aimed at taking advantage of the recently large interest rate differentials between the peso and developedcountry currencies has led to several episodes of abnormal turbulence, as measured by the exchange-rate distribution’s skewness coefficient. In line with the interpretative framework linking turbulence to changes in the forward positions of speculators, we find that turbulence is higher in periods during which measures of global uncertainty have been particularly high.
dc.formatTexto
dc.format.extentpáginas. 71-9
dc.format.mimetypeapplication/pdf
dc.identifier.unSymbolLC/G.2694-P
dc.identifier.urihttps://hdl.handle.net/11362/41256
dc.language.isoeng
dc.physicalDescriptionp. 71-93; grafs., tabls.
dc.relation.isPartOfCEPAL Review
dc.relation.isPartOfNo120
dc.relation.isPartOfSeriesCEPAL Review
dc.relation.translationLanguagespa
dc.relation.translationRecordOperaciones de acarreo de divisas (carry trade) y sus efectos sobre la turbulencia cambiaria en Chile
dc.relation.translationUrihttps://hdl.handle.net/11362/40794
dc.rights.coarDisponible
dc.subject.unbisEngCURRENCY
dc.subject.unbisEngFOREIGN EXCHANGE RATES
dc.subject.unbisEngCURRENCY INSTABILITY
dc.subject.unbisEngFOREIGN EXCHANGE MARKETS
dc.subject.unbisEngSPECULATION
dc.subject.unbisSpaMONEDAS
dc.subject.unbisSpaTIPOS DE CAMBIO
dc.subject.unbisSpaINESTABILIDAD MONETARIA
dc.subject.unbisSpaMERCADOS DE DIVISAS
dc.subject.unbisSpaESPECULACION
dc.titleThe Chilean peso exchange-rate carry trade and turbulence
dc.type.coarrevista
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