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Communication Dans Un Congrès Année : 2021

Carry Trade and Negative Policy Rates in Switzerland : Low-lying fog or storm ?

Résumé

This article uses data from hedge funds to investigate the behavior of the Swiss franc carry trade in the period of negative interest rate policy in Switzerland. In an effort to disentangle the funding currency and safe haven effects embedded in the Swiss carry trade activity with four target currencies (U.S. dollar, euro, Japanese yen, and British pound), we estimate structural vector autoregressive models with financial variables. Along with evidence for the funding currency and safe haven effects, results also show that: (i) the uncovered interest rate parity is violated for the U.S. dollar, euro and Japanese yen models, (ii) hedge funds are able to move asset prices, and (iii) an increased systemic risk is linked to a higher Swiss franc carry trade activity.
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Dates et versions

halshs-03669561 , version 1 (16-05-2022)

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  • HAL Id : halshs-03669561 , version 1

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Bruno Thiago Tomio, Guillaume Vallet. Carry Trade and Negative Policy Rates in Switzerland : Low-lying fog or storm ?. 25th FMM (Forum for Macroeconomics and Macroeconomic Policies) conference "Macroeconomics of Socio-Ecological Transition", Hans-Böckler-Stiftung, Oct 2021, Berlin, Germany. ⟨halshs-03669561⟩

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