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dc.contributor.authorTokat, Ekin
dc.contributor.authorMurat, Atılım
dc.contributor.authorTokat, Hakkı Arda
dc.date.accessioned2019-07-03T14:45:15Z
dc.date.available2019-07-03T14:45:15Z
dc.date.issued2014
dc.identifier.citationTokat, E., Murat, A., & Tokat, H. A. (2014). The analysis of volatility transmission mechanism among carry trade currencies. Iktisat Isletme ve Finans, 29(335), 23-44.en_US
dc.identifier.issn1300-610X
dc.identifier.urihttp://hdl.handle.net/20.500.11851/1603
dc.description.abstractInvestors take the advantage of disequilibrium in spot and forward exchange markets by investing in higher yield currency on a covered basis. An alternative of covered interest arbitrage is uncovered interest arbitrage (UIA) in which investors choose to remain uncovered accepting the currency risk. The "yen carry trade" is known as a longstanding application of UIA. Owing to Japanese low interest rates, yen carry trade has been a highly profitable strategy which involves borrowing in yen to buy higher yielding assets. Employing multivariate GARCH modeling, we examine the volatility transmission mechanism between the exchange rates involved in "yen carry trade". Due to high impact of Lehman Brothers' collapse on world financial markets, we rather do the analysis for both before and after the default. Results reveal that interactions between the exchange rates increase considerably in response to negative market shocks. Our findings present new cross-hedging opportunities for investors.en_US
dc.language.isoengen_US
dc.publisherBilgesel Yayıncılık San & Tıc Ltden_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectYen Carry Tradeen_US
dc.subjectVolatility Spilloveren_US
dc.subjectMultivariate GARCHen_US
dc.subjectAsymmetric Shocken_US
dc.titleThe analysis of volatility transmission mechanism among carry trade currenciesen_US
dc.typearticleen_US
dc.relation.journalİktisat İşletme ve Finansen_US
dc.contributor.departmentTOBB ETU, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.contributor.departmentTOBB ETÜ, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümütr_TR
dc.identifier.volume29
dc.identifier.issue335
dc.identifier.startpage23
dc.identifier.endpage44
dc.identifier.wosWOS:000330716000002
dc.contributor.tobbetuauthorMurat, Atılım
dc.contributor.tobbetuauthorTokat, Ekin
dc.contributor.tobbetuauthorTokat, Hakkı Arda
dc.contributor.YOKid143580
dc.contributor.YOKid142999
dc.identifier.doi10.3848/iif.2014.335.3846
dc.contributor.ScopusAuthorID24773686500
dc.contributor.ScopusAuthorID24774103500
dc.contributor.ScopusAuthorID36538056400
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıtr_TR


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