When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds
分析了近几十年货币套利交易最严重的亏损事件，包括原因、货币归属、时机和持续时间，并发现亏损持续时间与预期收益、金融压力指标及基本面偏离程度有关，可用于控制损失并提升投资绩效。
We analyze the worst episodes of currency carry loss in recent decades, including causes, attribution by currency, timing, and duration of carry drawdowns. To explore the determinants of the length of carry losses, we estimate a model of carry drawdown duration. We find evidence that drawdown duration varies systematically with (1) expected return on the carry trade at the onset of the drawdown, (2) financial stress indicators, and (3) the magnitude of deviations from a fundamental value portfolio of the carry-related portfolio holdings. In an out-of-sample test, we show that these determinants can be used to control carry-related losses and improve investment performance.