Quarterly Review

Publications by quarter

BIS Quarterly Review, December 2007
Risk in carry trades: a look at target currencies in Asia and the Pacific

10 December 2007

by Jacob Gyntelberg and Eli M Remolona


We analyse carry trades involving the Australian dollar, Indonesian rupiah, Indian rupee, New Zealand dollar and Philippine peso as target currencies. We find evidence supporting the view that downside risk is an important feature of such strategies and propose ways of measuring this risk.

JEL classification: F310, G150, G180, N250.