Theses and Dissertations - UTB/UTPA
Date of Award
Master of Business Administration (MBA)
Dr. Thanh Ngo
Dr. Diego Escobari
Dr. Monika Rabarison
Carry trading is a form of currency trading in which an investor buys assets in a higher interest yielding currency by borrowing in a low interest yielding currency without hedging for exchange risk. I seek to compare and contrast the performance of carry trade strategy before and after the financial crisis (2007-2009). I also compare and contrast how the carry trade strategy and covered interest rate arbitrage fare in different periods. Carry traders do not hedge their position using forward rates whereas covered interest rate arbitrageurs do hedge their position using forward rates. A comparison of the two trading strategies in periods of non-crisis and crisis can help review if forward rates are effective measures reflective of investors’ expectation in periods of non-crisis as opposed to period of crisis.
University of Texas-Pan American
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