Currency Regimes and the Carry Trade
利用1919年至今的日度汇率数据，发现套息交易的高额回报仅出现在浮动汇率制度下，而固定汇率制度下回报为零；固定转浮动制度转换伴随套息策略的负回报，且与全球避险事件相关。
This study exploits a new long-run data set of daily bid and offered exchange rates in spot and forward markets from 1919 to the present to analyze carry returns in fixed and floating currency regimes. We first find that outsized carry returns occur exclusively in the floating regime, being zero in the fixed regime. Second, we show that fixed-to-floating regime shifts are associated with negative returns to a carry strategy implemented only on floating currencies, robust to the inclusion of volatility risks. These shifts are typically characterized by global flight-to-safety events that represent bad times for carry traders.