1. Küresel Risk Algısının Carry Trade Belirleyicileri Üzerine Etkileri: Türkiye, İngiltere, ABD Örnekleri.
- Author
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ERER, Deniz and GACENER ATIŞ, Aydanur
- Subjects
- *
INTEREST rates , *RISK perception , *FOREIGN exchange rates , *INVESTORS , *VECTOR autoregression model - Abstract
The aim of this study is to analyze the main determinants of carry trade activity for Turkey, England and the USA in the periods when global risk perception is high and low. From the results of TVAR model, we concluded that interest rate differential is the main factor behind carry trade activity in the periods when global risk perception is high and low. We found that exchange rate uncertainty is an element that leads to giving up carry trade activity in the period when global risk perception is high while it doesn't have any significant effect in the period when global risk perception is low in Turkey and England. However, we determined that investors in the USA continue to carry trade activity although exchange rate uncertainty rises. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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