| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 100 === The carry trade is a trading arbitrage behavior through state-to-state currency interest-rate gap. Investors borrow in low interest rate currency, to obtain lower cost of investment in favor of investment in high-yield financial markets and earn the middle of the exchange rate or interest rate spreads. The stability of the financial markets before the good performance of the carry trade strategy environment. However, since the U.S. subprime mortgage crisis of 2007, a shock to the financial markets, national stock market plunge, this huge change mainly to the yen or the Swiss franc carry trade is significantly lighten suffered no small loss of capital and the exchange differences loss.
The literature of carry trade in the past emphasis to the strategy or explore the relationship between spreads and equity and currency markets .This paper will use the time series model, the correlation of spreads before and after the analysis of the subprime mortgage and equity and currency markets, and joined the inflation factors for consideration, to verify the association of each variable is subject to change.
Cointegration test found the cointegration relations exist in the larger spread of currency.Most of the spreads and the stock market of the country there are long-term co-integration relationship led to speculate that the reasons for the spread Exchange. Investors borrow low interest rate currency and invest the stock market ,when the stock market collapse, carry unwinding emerge, investors must be a funding currency covering the funds pulled out of the stock market resulting in the stock market more dramatic changes.
Causality test found that the sub-prime multiple sets of currency combined results of exchange rate changes, interest rate changes. The subprime mortgage crisis, the currency mutually reinforcing combination of increase. The vast majority of currency combination of test results before the subprime mortgage crisis spreads and the stock market are mutually reinforcing; mutually reinforcing sub-prime turmoil, currency combinations increase. Speculated that possible reasons for the subprime mortgage crisis, the trading behavior of investors become more conservative, it spreads and the stock market are not mutually reinforcing
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