?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=https%3A%2F%2Fmpra.ub.uni-muenchen.de%2F15265%2F&rft.title=Carry+Trade+Fundamentals+and+the+Financial+Crisis+2007-2010&rft.creator=Vistesen%2C+Claus&rft.subject=F3+-+International+Finance&rft.subject=G15+-+International+Financial+Markets&rft.subject=F31+-+Foreign+Exchange&rft.description=This+paper+takes+the+form+of+an+event+study+surrounding+the+current+financial+crisis.+It+proposes+a+theoretical+relationship+which+can+be+used+to+model+traditional+carry+trade+crosses+on+a+daily+return+basis+as+a+negative+function+of+equity+returns+and+a+positive+function+of+market+volatility.+In+order+to+test+this+theory%2C+an+Arbitrage+Pricing+Theory+framework+is+adopted+which+is+used+to+estimate+the+factor+betas+of+carry+trade+crosses+with+respect+to+equity+returns+and+market+volatility.+It+is+shown+how+the+variation+in+the+currency+crosses+explained+by+the+functional+relationship+as+well+as+the+estimated+factor+betas+have+increased+significantly+in+relation+to+the+financial+crisis.+The+results+indicate+that+low+yielding+currencies+(the+JPY+and+CHF)+can+be+successfully+modeled+as+a+negative+function+of+equity+returns+and+a+positive+function+of+volatility+in+the+market.+The+results+furthermore+underpin+studies+that+have+shown+how+carry+trading+activity+is+highly+sensitive+towards+sudden+sparks+of+volatility+and+risk+aversion%2C+and+thus+how+carry+trade+fundamentals+are+time+varying.&rft.date=2009-07-09&rft.type=MPRA+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=https%3A%2F%2Fmpra.ub.uni-muenchen.de%2F15265%2F1%2FMPRA_paper_15265.pdf&rft.identifier=++Vistesen%2C+Claus++(2009)%3A+Carry+Trade+Fundamentals+and+the+Financial+Crisis+2007-2010.++++&rft.language=en