Carry Trades and Currency Crashes

Markus K. Brunnermeier; Stefan Nagel; Lasse Heje Pedersen
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4195, 4205, 4213, 4219, 4234, 4238, 4243, 4253, 4257, 4310, 4314, 4319, 4327, 4331, 4341, 4358, 4376, 4391, 4398, 4461, 4466, 4469], 'major': [103, 846, 1071, 2626], 'currency': [104, 111, 165, 621, 942, 1009, 1274, 2328, 2744, 2784, 2792, 2850, 2854, 2884, 2950, 3204, 3210, 3214, 3238, 3270, 3392, 3400, 3724, 3762, 3779, 3797, 3812, 3861, 3889, 4156, 4263, 4419], 'puzzles.': [105], 'Our': [106, 812, 898, 1804, 2952, 3107], 'starting': [107], 'point': [108, 2482], 'is': [109, 148, 207, 309, 347, 540, 701, 779, 810, 900, 944, 950, 958, 1039, 1165, 1187, 1198, 1234, 1244, 1293, 1335, 1355, 1489, 1498, 1507, 1782, 1833, 1838, 1873, 1886, 1911, 1972, 1982, 1986, 2027, 2060, 2184, 2221, 2242, 2298, 2386, 2403, 2438, 2718, 2762, 2799, 2807, 2851, 2858, 3110, 3199, 3211, 3218, 3272, 3338, 3362, 3410, 3431, 3504, 3585, 3617, 3630, 3654, 3750, 3767, 3830, 3908, 3920, 4073, 4264, 4307, 4361, 4451], 'carry': [112, 140, 197, 300, 364, 406, 410, 734, 769, 892, 992, 1361, 1523, 1536, 1656, 1719, 1761, 2008, 2181, 2234, 2268, 2338, 2349, 2359, 2372, 2399, 2436, 2498, 2844, 2924, 3036, 3091, 3228, 3945, 3956, 4012, 4018, 4069, 4199, 4228, 4303, 4342, 4359, 4392, 4470], 'trade,': [113, 1657, 2400], 'which': [114, 724, 778, 1049, 1079, 1164, 1488, 1518, 1703, 1822, 1999, 2279, 2577, 3207, 3653, 3848, 4105, 4138], 'consists': [115], 'selling': [117], 'low': [118, 174, 1668, 1671, 2076, 2128, 2916, 4169], 'interest': [119, 126, 133, 145, 326, 344, 440, 455, 631, 884, 979, 1014, 1055, 1083, 1106, 1133, 1350, 1612, 1665, 1672, 1683, 1738, 1859, 1870, 1896, 1951, 2051, 2129, 2143, 2225, 2258, 2616, 2723, 2728, 2757, 2770, 2821, 2880, 2910, 2917, 2971, 2995, 3132, 3531, 3673, 3838, 3878, 3903, 3931, 3938, 3976, 4031, 4081, 4111, 4170, 4182, 4240, 4259, 4316, 4333, 4428], 'rate': [120, 127, 134, 146, 211, 276, 288, 327, 337, 345, 441, 456, 632, 669, 689, 885, 980, 1015, 1056, 1084, 1107, 1134, 1186, 1233, 1300, 1351, 1613, 1739, 1860, 1871, 1897, 2057, 2130, 2166, 2226, 2253, 2259, 2458, 2536, 2678, 2712, 2740, 2758, 2771, 2812, 2881, 3066, 3078, 3408, 3514, 3532, 3554, 3570, 3758, 3839, 3879, 3904, 3932, 3939, 3977, 4032, 4082, 4112, 4429], 'currencies—“funding': [121], 'currencies”—and': [122], 'investing': [123, 3771, 3958, 4024], 'high': [125, 883, 978, 1642, 1664, 2126, 2142, 2224, 2909, 4181], 'currencies—“investment': [128], 'currencies.”': [129], 'While': [130], 'uncovered': [132, 2727, 2820], 'parity': [135, 2093, 2729, 2822], '(UIP)': [136], 'hypothesizes': [137], 'that': [138, 208, 247, 285, 314, 323, 342, 509, 522, 524, 559, 590, 604, 617, 671, 686, 768, 882, 890, 907, 922, 959, 977, 1019, 1149, 1209, 1360, 1485, 1514, 1532, 1641, 1658, 1685, 1734, 1763, 1855, 1964, 2036, 2136, 2156, 2176, 2218, 2261, 2327, 2348, 2357, 2367, 2391, 2415, 2433, 2493, 2543, 3039, 3069, 3140, 3156, 3160, 3243, 3383, 3446, 3579, 3638, 3662, 3828, 3918, 3944, 4064, 4144, 4166, 4306, 4340, 4357, 4375, 4403, 4410, 4418, 4448], 'gain': [141], 'due': [142, 295, 819, 1559, 1752, 1874, 3497], 'differential': [147, 1301, 2052, 3840, 3880, 3905, 3978, 4033, 4083], 'offset': [149, 1217], 'a': [151, 167, 173, 257, 381, 414, 529, 534, 541, 626, 643, 663, 718, 721, 763, 832, 939, 1004, 1213, 1259, 1273, 1308, 1331, 1338, 1343, 1369, 1374, 1390, 1569, 1584, 1700, 1716, 1788, 1920, 2040, 2062, 2075, 2161, 2230, 2276, 2325, 2521, 2581, 2706, 2808, 2843, 2929, 2962, 3004, 3019, 3088, 3127, 3203, 3290, 3363, 3369, 3373, 3377, 3381, 3465, 3472, 3480, 3487, 3572, 3577, 3619, 3632, 3655, 3666, 3773, 3831, 3921, 3955, 4074, 4149, 4458], 'commensurate': [152], 'depreciation': [153, 223, 665, 2801, 3005, 3020], 'investment': [156, 164, 316, 355, 423, 965, 1769, 2780, 2785, 2853, 3213], 'currency,': [157, 3124, 3221], 'empirically': [158, 495, 2248], 'reverse': [160, 969], 'holds,': [161], 'namely,': [162, 3611], 'appreciates': [166, 691], 'little': [168], 'average,': [170, 4005], 'albeit': [171], 'with': [172, 311, 331, 349, 402, 451, 458, 658, 831, 902, 987, 1031, 1146, 1635, 1699, 1736, 1949, 2074, 2141, 2324, 2377, 2440, 2596, 2675, 2870, 2946, 3376, 3461, 3548, 3562, 3862, 3890, 4168, 4180, 4237, 4256, 4313, 4330, 4397], 'predictive': [175, 437], '$$R^{2}$$': [176, 1033], '(see,': [177], 'e.g.,': [178], 'Fama': [179], '1984).': [180], 'This': [181, 242, 307, 1207, 1353, 1419, 1749, 3153, 3361, 3934, 4355, 4431], 'violation': [182, 497], 'UIP—often': [185], 'referred': [186], 'as': [188, 261, 392, 614, 698, 793, 1428, 1927, 2650, 2652, 2838, 3126, 3143, 3817, 4221, 4385], '“forward': [190], 'premium': [191, 542, 1144, 1997, 2025, 2194, 2282], 'puzzle”—is': [192], 'precisely': [193], 'what': [194], 'makes': [195], 'trade': [198, 365, 411, 735, 893, 993, 1362, 1524, 1537, 1720, 1762, 2182, 2235, 2269, 2339, 2499, 2845, 3037, 3092, 3205, 3229, 3296, 3957, 4304, 4343, 4360, 4393, 4471], 'profitable': [199, 4362], 'average.': [201, 995], 'Another': [202], 'puzzling': [203], 'feature': [204], 'dramatic': [209], 'exchange': [210, 275, 287, 336, 668, 688, 842, 1185, 1232, 1503, 2037, 2056, 2084, 2252, 2457, 2535, 2606, 2677, 2711, 2739, 2749, 2811, 3065, 3077, 3303, 3407, 3448, 3513, 3529, 3553, 3569, 3594, 3757], 'movements': [212, 252, 1767, 1774, 2254, 3409, 3449], 'occasionally': [213, 693], 'happen': [214], 'without': [215, 2053], 'fundamental': [216, 258, 556, 2293], 'news': [217, 259, 292], 'announcements,': [218], 'example,': [220, 1037, 2905, 3859, 4097], 'large': [222, 482, 4100, 4346], 'U.S.': [226, 272, 851, 1843, 2452, 2610, 2685, 2756, 3764, 3884], 'dollar': [227, 2453, 2611, 2857, 3217, 3694, 3885], 'against': [228, 1568, 3311, 3390, 3398], 'Japanese': [230, 1044, 2455, 2472], 'yen': [231, 274, 1045, 1845, 2456], 'October': [233, 1848, 1867], '7': [234, 1849], '8,': [236, 1851], '1998,': [237, 1832], 'depicted': [238], 'figure': [240, 1000, 3916, 4161], '1.1': [241], 'reflects': [243], 'broader': [245], 'phenomenon': [246], 'many': [248], 'abrupt': [249], 'asset': [250], 'price': [251, 369, 751, 1239, 1329, 1401, 1553, 1565, 2200, 3413, 3420, 3436, 3547, 3564, 3583, 3692], 'cannot': [253, 4412], 'be': [254, 294, 750, 772, 926, 1216, 1442, 1558, 1751, 1962, 2425, 2560, 2829, 3644, 4414, 4434], 'attributed': [255], 'events,': [260], 'documented': [262, 1429], 'Cutler': [264], 'Summers': [266], '(1989)': [267], 'Fair': [269], '(2002).Fig.': [270], '1.': [271], 'dollar/Japanese': [273, 1844], 'from': [277, 479, 551, 863, 1290, 1509, 1841, 1969, 2306, 2380, 2618, 2620, 3100, 3169, 3324, 3442, 3770, 3911, 3915, 4039, 4133], '1996': [278], '2000View': [280], 'Large': [281, 1110, 1137], 'ImageDownload': [282, 1111, 1138], 'PowerPointWe': [283], 'conjecture': [284], 'sudden': [286, 696], 'moves': [289], 'unrelated': [290], 'can': [293, 624, 725, 749, 771, 1215, 2424, 2834, 3643, 4464], 'unwinding': [298, 2336, 2434], 'trades': [301, 770, 785, 2350, 2360, 2437, 3946, 4019], 'when': [302, 566, 727, 744, 774, 808, 1448, 2419], 'near': [304, 2063], 'funding': [305, 429, 569, 580, 972, 1590, 1713, 1776, 2860, 3220], 'constraints.': [306], 'idea': [308], 'consistent': [310, 830, 901, 986, 1698, 2323], 'our': [312, 956, 1313, 1358, 2428, 2563, 2865, 2976, 3001, 3016, 3044, 3058, 3181, 3279, 3727, 3967, 4131, 4227], 'findings': [313, 501, 814, 1696, 2432], '(i)': [315, 783], 'are': [318, 329, 564, 595, 828, 1204, 1393, 1439, 1697, 1807, 2019, 2287, 2330, 2351, 2494, 2540, 3046, 3138, 3141, 3158, 3247, 3281, 3450, 3699, 3804, 3947, 4066, 4388, 4405, 4421], 'subject': [319, 823, 3997, 4054], 'risk,': [322, 1148, 1571], 'is,': [324, 343, 891, 935, 1150, 1659, 1686, 2262, 3384, 3580], 'positive': [325, 350, 530, 538, 948, 983, 1040, 2231, 2584, 3196, 3467, 3832, 4076, 4175, 4352], 'differentials': [328, 886, 981, 1108, 1135, 2882, 3940], 'associated': [330, 348, 1145], 'negative': [332, 535, 548, 888, 953, 1005, 1054, 1245, 3482, 3489, 3865, 3876, 3923, 3935, 3950, 4000, 4056, 4109, 4187, 4349, 4377], 'conditional': [333, 2255, 3051], 'skewness': [334, 549, 862, 937, 949, 1010, 1038, 1064, 1090, 1117, 1257, 1260, 1289, 1315, 1327, 1967, 1980, 2250, 2303, 2548, 3063, 3074, 3468, 3483, 3503, 3511, 3927, 3942, 4001, 4057, 4154, 4378, 4411, 4467], 'movements;': [338], '(ii)': [339, 792], 'carry,': [341], 'differential,': [346, 2260], 'speculator': [351, 375, 405, 562, 593, 984, 1367, 1417], 'net': [352, 2488, 2509, 2532, 3112, 3792, 4087], 'positions': [353, 359, 376, 407, 484, 610, 2533, 2899, 3190, 3537, 3788, 4102, 4232, 4251], 'currencies;': [356], '(iii)': [357], 'speculators’': [358, 784, 2531], 'increase': [360, 367, 385, 1562, 1579, 1620, 1630, 1872, 1876], 'risk;': [362], '(iv)': [363], 'losses': [366, 563, 1363], 'but': [373, 827, 3696, 3993, 4050, 4365], 'lower': [374, 426, 1344, 1366, 1375, 2994], 'probability': [379, 1582], 'crash;': [382], '(v)': [383], 'global': [387, 765, 1449, 2292], 'or': [389, 1451, 1572, 1707, 2948, 3452, 4379], 'aversion': [391, 1453], 'measured': [393], 'VIX': [396, 418, 434, 1520, 1633, 1649], 'equity‐option': [397], 'implied': [398, 1100, 1127, 1167, 1176, 1202, 1288, 1320, 1475, 1705, 3343, 3353, 3677, 3704, 3806], 'volatility': [399, 1168, 1177, 1476, 1706, 2354, 2422, 2442, 3344, 3354, 3678, 3807], 'index': [400], 'coincides': [401], 'reductions': [403], '(unwind)': [408], 'losses;': [412], '(vi)': [413], 'higher': [415, 420, 1339, 1370, 1651, 1661, 1704, 1729, 1950, 2146, 2222, 2588, 2970, 3473], 'level': [416], 'predicts': [419, 1342], 'returns': [421, 427, 894, 1653, 1662, 1669, 1728, 2124, 2138, 2236, 2590, 2886, 4201], 'currencies,': [430, 858, 966, 1770], 'controlling': [432, 461, 1347, 1675, 1741], 'reduces': [435, 1679], 'coefficient': [438], 'differentials,': [442, 3533], 'thus': [443, 491, 1722], 'helping': [444], 'resolve': [445], 'UIP': [447, 672, 1692, 2105, 3854], 'puzzle;': [448], '(vii)': [449], 'similar': [452, 1627, 1737], 'levels': [453, 1643], 'comove': [457], 'each': [459, 728, 854, 3083, 3193, 3723, 4246, 4262, 4322], 'other,': [460], 'other': [463, 715, 1060, 1224, 3459, 3680], 'effects.': [464, 1748], '(viii)': [465], 'More': [466], 'generally,': [467], 'we': [471, 623, 859, 975, 1140, 1158, 1379, 1472, 1592, 1639, 1732, 2320, 2518, 2669, 2688, 2704, 2877, 3030, 3071, 3094, 3184, 3321, 4139, 4211, 4268, 4404, 4445, 4463], 'document': [472, 708, 1733, 2520], 'may': [476, 490, 2926], 'discourage': [477], 'taking': [480, 3659, 3954], 'enough': [483], 'enforce': [486], 'UIP.': [487], 'Crash': [488], 'help': [492], 'explain': [493, 1690], 'well‐documented': [496], 'UIP.Our': [500], 'share': [502], 'several': [503], 'features': [504, 3721], '“liquidity': [507], 'spirals”': [508], 'arise': [510], 'model': [513, 1701, 2158, 2277, 2297], 'Brunnermeier': [515, 599, 755, 795], 'Pedersen': [517, 601, 797], '(2009).': [518], 'They': [519], 'show': [520, 603, 761, 872, 1513, 2229, 4063, 4165], 'theoretically': [521], 'securities': [523, 605, 616], 'invest': [526], 'have': [528, 608, 895, 932, 1080, 2145, 2927, 3167, 3971, 3995, 4028, 4052, 4099, 4140, 4174, 4186, 4345], 'average': [531, 1008, 1013, 1287, 1299, 2405, 3837, 3844, 3866, 3877, 3902, 3930, 3975, 4068, 4080, 4086, 4110, 4122, 4364], 'return': [532, 539, 2005, 2178, 2369, 2406, 2777, 2813, 2841, 3769, 3846, 3868, 3894, 3985, 4009, 4042], 'skewness.': [536, 954, 1321, 3319, 3951], 'The': [537, 996, 1322, 1549, 2023, 2751, 2964, 2988, 3596, 3888, 4158, 4408], 'providing': [544, 3396], 'liquidity,': [545, 1591, 1714], 'arises': [550, 2283], 'asymmetric': [553], 'response': [554], 'shocks:': [557], 'shocks': [558, 589], 'lead': [560, 591, 650, 1364, 1764, 3470, 3485], 'amplified': [565], 'hit': [568], 'constraints': [570, 1438], 'unwind': [572, 746], 'their': [573, 747, 2090, 2157, 3671], 'positions,': [574, 985, 1368, 1721], 'further': [575], 'depressing': [576], 'prices,': [577], 'increasing': [578, 629], 'problems,': [581, 1976], 'volatility,': [582, 1465], 'margins,': [584], 'so': [586, 2975], 'on.': [587], 'Conversely,': [588], 'gains': [594, 1280], 'not': [596, 742, 931, 1499, 1834, 2524, 2828, 2896, 3032, 3146, 3248, 3505], 'amplified.': [597], 'Further,': [598, 974, 2388], '(2009)': [602], 'where': [606, 2795, 2847, 4210, 4261], 'long': [609, 738, 990, 2082, 2930, 3370, 3774, 3793, 4231, 4308], 'will': [611, 615], 'move': [612], 'together,': [613, 3014], 'they': [618, 3157, 3288], 'short.In': [619], 'setting,': [622], 'envision': [625], 'country': [627, 946, 951], 'suddenly': [628], 'its': [630], 'thereby': [634], 'attracting': [635], 'foreign': [636, 2743, 2769, 2783, 2804, 2849, 3123, 3209, 3302, 3391, 3399, 3447, 3756, 3761, 3778, 3796, 3811], 'capital—possibly': [637], 'worsening': [638], 'current': [640, 3567], 'account.2': [641], 'In': [642, 674, 1156, 1913, 2862, 3458], 'frictionless': [644], 'risk‐neutral': [646, 1192, 1228, 1319, 3318, 3456, 3502, 4153, 4176, 4188], 'economy,': [647], 'should': [649, 1960, 2827], 'immediate': [653], 'appreciation': [654, 2980], 'currency—associated': [657], 'inflow': [660, 1883, 1910], 'capital—and': [662], 'future': [664, 1345, 1376, 1407, 1543, 1652], 'such': [670, 685, 2961, 4453], 'holds.': [673], 'presence': [676], 'liquidity': [678, 809, 825, 2343, 3267, 4449], 'constraints,': [679], 'however,': [680, 2155, 2894, 3242], 'capital': [681, 700, 713, 801, 822, 1460, 1885, 1909, 1958], 'only': [682, 690, 1865, 2061, 3586], 'arrives': [683], 'slowly': [684], 'gradually,': [692], 'disrupted': [694], 'depreciations': [697], 'speculative': [699, 3164], 'withdrawn.': [702], 'Mitchell,': [703], 'Pulvino': [706], '(2007)': [707, 760, 2100, 2116, 2153, 2346, 2365, 2413, 2447, 2481, 2569], 'effect': [710, 1596, 1678], 'slow‐moving': [712, 821], 'markets.In': [716], 'contrast,': [717], 'after': [720, 1389], '“currency': [722], 'bubble,”': [723], 'emerge': [726], 'investor': [729, 2110, 3953, 4015], 'holds': [730, 963, 970], 'his': [733], 'position': [736, 1275, 2510, 2931, 2945, 3098, 3117, 3198, 3245, 3371, 3379, 3775, 3794, 4089], 'too': [737], 'since': [739, 1200, 1505, 2066, 2823, 4071], 'he': [740, 2389], 'does': [741], 'know': [743], 'others': [745], 'position,': [748], 'correcting': [752], '(Abreu': [753], '2003).': [756], 'Plantin': [757], 'Shin': [759], 'dynamic': [764], 'games': [766], 'framework': [767], 'destabilizing': [773], 'strategic': [775], 'complementarities': [776], 'arise,': [777], 'case': [781, 1915, 2135], 'if': [782, 1226, 1889, 3434], 'occur': [786], 'sequentially': [787], 'random': [789, 2042, 2064], 'order': [790, 1903], '(2009),': [798], 'trading': [799, 2594, 3234], 'requires': [800], 'margins': [803], 'requirements': [804], 'become': [805], 'stringent': [807], 'tight.': [811], 'empirical': [813, 835, 1089, 1116], 'suggest': [815], 'initial': [817], 'underreaction': [818, 1725], 'also': [829, 1050, 1294, 1530, 1593, 1854, 1961, 2028, 2301, 2565, 3872, 3898, 3909, 4062, 4193], 'long‐run': [833], 'overreaction.Our': [834], 'study': [836, 1141, 2544], 'uses': [837], 'time‐series': [838, 1323], 'data': [839, 865, 1798, 2466, 2485, 2511, 3099, 3168, 3246, 3280, 3300, 3323, 4297], 'rates': [843, 909, 1504, 1952, 2038, 2085, 2144, 2607, 2617, 2693, 2724, 2911, 2918, 2972, 2996, 4171, 4183, 4241, 4317], 'eight': [845, 857, 2625], 'relative': [848, 2888, 2900, 2984, 3009, 3024, 3881, 3988, 4045], 'dollar.': [852], 'For': [853, 1036, 2656, 2700, 2904, 3858, 4096], 'these': [856, 1547, 1695, 3055], 'calculate': [860], 'realized': [861, 1979], 'daily': [864, 2604, 3076, 4008], 'within': [866, 3082], '(overlapping)': [867], 'quarterly': [868, 1105, 1132, 2707, 3182, 3752], 'time': [869, 880, 2760, 3526], 'periods.': [870], 'We': [871, 920, 1017, 1512, 1529, 2774, 3166, 3240, 3715, 4192, 4338], 'cross': [875, 1284], 'section': [876], 'series': [881, 2673, 3527], 'predict': [887, 982, 1650, 2978, 3003, 3018], 'skewness,': [889, 1102, 1129, 1346, 1377, 2585, 3534, 4177, 4350], 'risk.': [897, 1155, 2151], 'finding': [899, 957, 1354, 1359, 2035, 2414], 'saying': [904, 924, 962], 'among': [905, 2243], 'traders': [906, 2925, 3120, 3137, 3259, 4070], '“exchange': [908], 'go': [910], 'up': [911, 1023], 'stairs': [914], 'down': [916], 'elevator.”': [919], 'note': [921], 'must': [925, 1380], 'understood': [927], 'conditionally:': [928], 'do': [930, 2895, 3031], 'unconditional': [933], 'skewness—that': [934], 'randomly': [940], 'chosen': [941], 'pair': [943], 'zero—because': [945], 'A’s': [947], 'B’s': [952], 'Hence,': [955, 1247, 1388, 2832, 3433], 'trader': [961], 'while': [967, 1977, 3029, 4178], 'currencies.': [973, 1673], 'find': [976, 1531, 1640, 2175, 4372], 'being': [989], 'top': [997], 'panel': [998, 1303], '2': [1001, 3917, 4271, 4284], 'clearly': [1002], 'shows': [1003, 3827, 3943, 4120], 'relationship': [1006, 1311, 1324, 2232, 2526, 4197], 'between': [1007, 1312, 1325, 1603, 1824, 2122, 2233, 2491, 2527, 3341, 3809, 3835, 3926, 3937, 4078, 4198], 'differential.': [1016, 1057, 1352, 3933], 'see': [1018, 4339], 'countries': [1021, 2286, 2492, 3173, 4167, 4179], 'line': [1022, 2869], 'very': [1024], 'closely': [1025], 'around': [1026], 'downward': [1028], 'sloping': [1029], 'line,': [1030], '81%.': [1035], 'highest': [1042, 3892, 3901, 4239, 4315], '(a': [1046], '“funding': [1047], 'currency”),': [1048], 'has': [1051, 1420, 1625, 3571, 4106, 4230, 4366], 'most': [1053, 2701, 2863, 2871, 3864, 3875, 4108], 'At': [1058], 'end': [1061, 1826], 'spectrum,': [1065], 'one': [1066, 2395, 2833, 4452], 'finds': [1067, 2366, 2390], 'two': [1070], '“investment': [1072], 'currencies”': [1073], 'Australian': [1074], 'New': [1076, 2635], 'Zealand': [1077, 2636], 'dollar,': [1078, 2686], 'second‐highest': [1082], 'differentials.Fig.': [1085], '2.': [1086, 1113, 4225], 'Cross‐section': [1087, 1114], '(top': [1091, 1118], 'panel)': [1092, 1119], 'reversal': [1096, 1123, 1197, 1243, 1250, 1333, 1341, 3337, 3430, 3440, 3642], '(bottom': [1097, 1124, 1302], 'panel),': [1098, 1125], 'reflecting': [1099, 1126], '(risk‐neutral)': [1101, 1128], 'different': [1104, 1131, 4424], '$$i^{*}-i$$.View': [1109, 1136], 'PowerPointFig.': [1112], 'PowerPointNext,': [1139], '“price”': [1152], 'particular,': [1157], 'consider': [1159, 1473, 4194, 4269], 'so‐called': [1161], 'reversal,': [1163, 1372, 3478], 'out‐of‐the‐money': [1171, 1181, 3347, 3357], 'call': [1172, 1214, 3349, 3374, 3416, 3561, 3573, 3616, 3620, 3633, 3813], 'option': [1173, 2310, 3350, 3546, 3557, 3582, 3691], 'minus': [1174, 3114, 4036], 'equally': [1180, 4266, 4301], 'put.': [1182, 1221], 'If': [1183, 3402], 'symmetrically': [1188], 'distributed': [1189], 'under': [1190, 2824], 'measure,': [1193], 'then': [1194], 'zero': [1199], 'volatilities': [1203], 'same.': [1206], 'means': [1208, 3155, 4356], 'cost': [1211, 1268, 3308, 3367, 3386], 'shorting': [1219], 'On': [1222], 'hand,': [1225], 'distribution': [1229, 3405], 'negatively': [1235, 1295, 2597, 3453], '(positively)': [1236], 'skewed,': [1237], '(positive).': [1246], 'measures': [1251, 1266], 'combined': [1253, 3375], 'effects': [1254, 1626], 'expected': [1256, 2589, 3052], 'premium.': [1262], 'Said': [1263], 'differently,': [1264, 3316], 'it': [1265, 1506, 1573, 1837], 'buying': [1270, 3388], 'protection': [1271, 2379, 2394], 'limit': [1277], 'possible': [1279, 1383, 1457], 'losses.In': [1282], 'section,': [1285], 'reversals': [1292, 1556, 1971, 3803, 4147], 'related': [1296, 1356, 1792, 2029, 2426], 'fig.': [1305], '2),': [1306], 'suggesting': [1307], 'close': [1309], 'cross‐sectional': [1310, 2120, 3833, 3924, 4196], 'physical': [1314, 3510], 'measure': [1316, 1470, 1981, 2710, 2809, 3072, 3306, 3364, 4150], 'actual': [1326], 'contract': [1334], 'surprising:': [1337], 'though': [1378], 'acknowledge': [1381], 'peso': [1384, 1975], 'problem': [1385], 'estimation.3': [1387], 'crash,': [1391], 'willing': [1394], 'pay': [1396, 3665], 'insurance,': [1399], 'insurance': [1403, 1427, 1567, 3389, 3397], 'increases,': [1404, 1454, 1521], 'goes': [1410], 'down,': [1411], 'perhaps': [1412], 'because': [1413, 2284, 3250, 3263], 'smaller': [1416, 2402], 'positions.': [1418], 'parallels': [1421], 'market': [1424, 1611, 2196, 2421, 3271], 'catastrophe': [1426], 'Froot': [1431, 1436, 2010], 'O’Connell': [1433], '(1999)': [1434], '(2001).Funding': [1437], 'likely': [1440], 'particularly': [1443], 'important': [1444], 'during': [1445, 1515, 1546, 3966], 'financial': [1446], 'dislocations': [1447], 'leading': [1455], 'redemptions': [1458], 'speculators,': [1462], 'losses,': [1463], 'increased': [1464, 1467], 'margins.': [1468], 'To': [1469, 3068], 'this,': [1471], 'S&P': [1479], '500,': [1480], 'called': [1481], 'VIX.': [1483], 'Note': [1484, 1853], 'VIX,': [1487], 'traded': [1490, 2514], 'at': [1491, 2759, 2879, 3565, 3618, 3631, 4204, 4395], 'Chicago': [1493], 'Board': [1494], 'Options': [1495], 'Exchange': [1496], '(CBOE),': [1497], 'mechanically': [1500], 'linked': [1501], 'derived': [1508, 1968], 'equity': [1510], 'options.': [1511], 'weeks': [1516], 'tends': [1525], 'incur': [1527], 'losses.': [1528], 'risk‐reversal': [1533, 4141], 'prices': [1534], 'activity': [1538, 2340], '(both': [1539], 'contemporaneous': [1540, 2522], 'predicted': [1542], 'activity)': [1544], 'decline': [1545], 'times.': [1548], 'decrease': [1550], 'could': [1557, 1574, 1750, 4433], 'simply': [1575], 'reflect': [1576], 'objective': [1578], 'crash.': [1585], 'As': [1586], 'another': [1587], 'proxy': [1588, 3089], 'examine': [1594, 2247], 'TED': [1599, 1623, 1646, 1708], 'spread,': [1600], 'difference': [1602, 3340, 3808], 'London': [1605], 'Interbank': [1606], 'Offered': [1607], 'Rate': [1608], '(LIBOR)': [1609], 'interbank': [1610, 2615, 2692, 2698], 'risk‐free': [1616], 'T‐Bill': [1617], 'rate.': [1618, 2750, 3595], 'An': [1619, 3559, 3952, 4014], 'spread': [1624, 1709], 'although': [1634], 'less': [1636], 'statistical': [1637], 'power.Further,': [1638], 'relatively': [1660], 'Importantly,': [1674], 'predictability': [1681], 'rates,': [1684, 3530, 4260], 'helps': [1688], 'violation.': [1693], 'Overall,': [1694], 'leads': [1710], 'tighter': [1712], 'forcing': [1715], 'reduction': [1717], 'making': [1723], 'stronger': [1726], 'going': [1730], 'forward.Finally,': [1731], 'comove,': [1740], 'certain': [1743, 2285], 'fundamentals': [1744], 'country‐pair': [1746], 'fixed': [1747], 'common': [1754, 1766, 1772, 4439], 'changes': [1755, 2529, 3079], 'size': [1758], 'opposite': [1773], 'currencies.The': [1777], 'structure': [1778], 'following.': [1784], 'Section': [1785, 1794, 1810, 1812], 'II': [1786], 'provides': [1787, 1801], 'brief': [1789], 'summary': [1790, 1802, 3728, 4060], 'papers.': [1793], 'III': [1795], 'describes': [1796], 'sources': [1799, 2486], 'statistics.': [1803], 'main': [1805], 'results': [1806], 'presented': [1808], 'IV.': [1811], 'V': [1813], 'concludes.1While': [1814], 'Long': [1816], 'Term': [1817], 'Capital': [1818], 'Management': [1819], '(LTCM)': [1820], 'debacle,': [1821], 'occurred': [1823], 'August': [1828], 'early': [1830], 'September': [1831], 'completely': [1835], 'unrelated,': [1836], 'quite': [1839], 'distinct': [1840], '1998.': [1852], 'Fed’s': [1857], 'surprise': [1858], 'cut': [1861], '0.5%': [1863], 'happened': [1864], '15.2If': [1868], 'total': [1878, 3130], 'factor': [1879], 'productivity': [1880, 2318], 'additional': [1882, 1908, 2484], 'efficient.': [1887], 'However,': [1888], 'country’s': [1891], 'central': [1892, 1917], 'bank': [1893, 1918, 2489], 'increases': [1894, 2423], 'slow': [1899], 'domestic': [1900, 1947, 2755, 2791, 3785], 'demand': [1901, 1948], 'curb': [1905], 'inflationary': [1906], 'pressures,': [1907], 'counterproductive.': [1912], 'faces': [1919], 'dilemma—known': [1921], 'International': [1923], 'Monetary': [1924], 'Fund': [1925], 'circles': [1926], '“Tosovský': [1929], 'Dilemma,”': [1930], 'named': [1931], 'Joseph': [1933], 'Tosovský,': [1934], 'former': [1935], 'Central': [1936], 'Bank': [1937], 'governor': [1938], 'Czech': [1941], 'Republic,': [1942], 'whose': [1943], 'attempts': [1944], 'dampen': [1946], 'were': [1953], 'largely': [1954], 'undone': [1955], 'larger': [1957], 'inflows.3It': [1959], 'noted': [1963], 'option‐implied': [1966], 'immune': [1973], 'not.II.': [1983], 'Related': [1984], 'LiteratureThere': [1985], 'extensive': [1988], 'literature': [1989, 2874], 'macroeconomics': [1991], 'finance': [1993], 'forward': [1996, 2024, 2193, 2281, 3276, 3568], 'puzzle,': [1998], 'focuses': [2000, 3060], 'implicitly': [2001], 'mean': [2004], 'trade.': [2009, 4013], 'Thaler': [2012], '(1990),': [2013], 'Lewis': [2014], '(1995),': [2015], 'Engel': [2017], '(1996)': [2018], 'nice': [2020], 'survey': [2021], 'articles.': [2022], 'puzzle': [2026], 'Meese': [2031], 'Rogoff’s': [2033], '(1983)': [2034, 3651, 3687], 'follow': [2039], '“near': [2041], 'walk”': [2043], 'allowing': [2044], 'investors': [2045, 3040, 3159, 3444], 'take': [2047, 2898], 'advantage': [2048], 'suffering': [2054], 'depreciation.': [2058], 'It': [2059, 2806], 'walk': [2065], 'high‐interest‐bearing': [2067], 'even': [2069], 'tend': [2070, 2086, 4172, 4184], 'appreciate': [2072, 2418], '(albeit': [2073], 'forecast': [2077], '$$R^{2}$$)': [2078], 'run': [2083], 'converge': [2088], 'purchasing': [2091], 'power': [2092], 'levels.More': [2094], 'recently,': [2095], 'Bacchetta': [2096], 'van': [2098], 'Wincoop': [2099], 'attribute': [2101], 'failure': [2103], 'infrequent': [2107], 'revisions': [2108], 'portfolio': [2111, 2183, 4190, 4220, 4229, 4305, 4401], 'decisions.': [2112], 'Lustig': [2113], 'Verdelhan': [2115], 'focus': [2117, 2448], 'variation': [2121], 'make': [2133, 2505], 'loading': [2147], 'consumption': [2149], 'growth': [2150], 'Burnside': [2152, 2171], 'argues,': [2154], 'leaves': [2159], 'unexplained': [2160], 'highly': [2162], 'significant': [2163], 'excess': [2164, 2362, 2815, 2885, 3845, 3867, 3893, 3983, 4041, 4353, 4380], 'zero‐beta': [2165], '(i.e.,': [2167], 'intercept': [2168], 'term),': [2169], 'et': [2172], 'al.': [2173], '(2006)': [2174], 'uncorrelated': [2185], 'standard': [2187], 'factors,': [2189, 4442], 'attributing': [2190], 'instead': [2191], 'frictions': [2197], '(bid‐ask': [2198], 'spreads,': [2199], 'pressure,': [2201], 'time‐varying': [2203], 'adverse': [2204], 'selection': [2205], 'Burnside,': [2207], 'Eichenbaum,': [2208], 'Rebelo': [2210], '[2007]).': [2211], 'Jylhä,': [2212], 'Lyytinen,': [2213], 'Suominen': [2215], '(2008)': [2216, 2274], 'argue': [2217], 'inflation': [2219], 'hedge': [2238], 'fund': [2239], 'indices.Our': [2240], 'analysis': [2241, 2953, 3059], 'first': [2245], 'strategies.': [2270], 'Farhi': [2271], 'Gabaix': [2273], 'develop': [2275], 'exposed': [2289, 3948], 'rare': [2291], 'disaster': [2294], 'events.': [2295], 'Their': [2296], 'calibrated': [2299], 'match': [2302], 'patterns': [2304], 'obtained': [2305], 'FX': [2307, 3348, 3358, 3984], '(foreign': [2308], 'exchange)': [2309], 'prices.': [2311], 'Instead': [2312], 'focusing': [2314], 'exogenous': [2316], 'extreme': [2317], 'shocks,': [2319], 'provide': [2321, 4148, 4446], 'evidence': [2322, 4374, 4447], 'theory': [2326], 'crashes': [2329, 2462, 4420], 'often': [2331], 'result': [2333], 'endogenous': [2335], 'caused': [2341], 'spirals.': [2344], 'Bhansali': [2345], 'argues': [2347], 'essentially': [2352], 'short': [2353, 3378, 4101, 4250, 4325], 'documents': [2356], 'option‐based': [2358], 'yield': [2361, 3668], 'returns.': [2363], 'Jurek': [2364], 'over': [2373], 'period': [2375, 2658, 3969], '1999–2007': [2376], 'downside': [2378], 'put': [2381, 3359, 3629, 3815], 'options': [2382, 3304, 3609, 3637, 3698], 'various': [2384, 3540], 'moneyness': [2385], 'positive.': [2387], 'buys': [2396], 'Sharpe': [2408, 4291, 4347], 'ratio.': [2409], 'Ranaldo': [2410], "Söderlind's": [2412], 'safe‐haven': [2416], 'stock': [2420, 2551], 'third': [2429], 'set': [2430], 'correlated': [2439, 4422], 'index,': [2443], 'VIX.Gagnon': [2444], 'Chaboud': [2446], 'primarily': [2449], 'link': [2460], 'balance': [2464], 'sheet': [2465], 'official': [2469], 'sector,': [2470], 'banking': [2473], 'sector': [2474], 'households.': [2476], 'Galati,': [2477], 'Heath,': [2478], 'McGuire': [2480], 'flows': [2490], 'useful': [2495], 'capturing': [2497], 'activity.': [2500], 'Klitgaard': [2501], 'Weir': [2503], '(2004)': [2504], 'use': [2506, 2689, 2705, 3095, 3161, 3185, 3299], 'weekly': [2508, 2528, 4296], 'futures': [2513, 2947, 3097, 3116, 3145, 3162, 3197, 3536, 3798, 4088], 'CME—as': [2517], 'do—and': [2519], '(but': [2523], 'predictive)': [2525], 'moves.': [2537], 'Finally,': [2538], 'there': [2539, 3829, 3919, 4072], 'numerous': [2541], 'papers': [2542], 'market.': [2552, 3239, 3277], 'Chen,': [2553], 'Hong,': [2554], 'Stein': [2556], '(2001)': [2557], 'seems': [2558], 'closest': [2561], 'study.44See': [2564], 'Barberis': [2566], 'Huang': [2568], 'Gollier,': [2572], 'Parker': [2574], '(2007),': [2575], 'belief': [2578], 'distortions': [2579], 'create': [2580], 'preference': [2582], 'resulting': [2586], 'assets': [2592], 'strategies': [2595, 3038, 4402], 'skewed': [2598, 3454], 'payoffs.III.': [2599], 'Data': [2600], 'DefinitionsWe': [2602], 'collect': [2603], 'nominal': [2605, 2738], '(USD)': [2612], '3‐month': [2614, 2691], 'Datastream': [2619], '1986': [2621, 3170], '2006': [2623, 4136], 'developed': [2627], 'markets:': [2628], 'Australia': [2629], '(AUD),': [2630], 'Canada': [2631], '(CAD),': [2632], 'Japan': [2633], '(JPY),': [2634], '(NZD),': [2637], 'Norway': [2638], '(NOK),': [2639], 'Switzerland': [2640], '(CHF),': [2641], 'Great': [2642], 'Britain': [2643], '(GBP),': [2644], 'euro': [2647, 2664, 2672, 2697], 'area': [2648], '(EUR),': [2649], 'well': [2651], 'eurodollar': [2654], 'LIBOR.': [2655], 'before': [2659], 'introduction': [2661], 'January': [2666], '1,': [2667], '1999,': [2668], 'splice': [2670], 'together': [2674], 'German': [2681, 2690], 'mark': [2682], 'place': [2695], 'rates.': [2699, 3674, 4334], 'tests': [2702], 'below': [2703], 'horizon': [2708, 2721], 'changes,': [2713], 'hence': [2715, 3000], '3': [2716, 4287], 'months': [2717], 'appropriate': [2720], 'apply': [2726], 'straightforward': [2731], 'fashion.We': [2732], 'denote': [2733, 2775], 'logarithm': [2735, 2752], '(units': [2741, 3759], 'per': [2745, 3763], 'dollar)': [2746], 'st=lognominal': [2748], '$$t$$': [2761], 'denoted': [2763, 3086], '$$i_{t}$$': [2765], 'log': [2768], '$$i^{*}_{t}$$.': [2773], 'financed': [2786, 2934, 3394, 3780, 3961], 'borrowing': [2788, 2936, 3232, 3782, 3963, 4020], 'zt+1≡i*−it−Δst+1,': [2794], '$$\\Delta': [2796, 3748], 's_{t+1}\\equiv': [2797], 's_{t+1}-s_{t}$$': [2798], 'currency.': [2805, 2861, 3786, 4095], 'prediction': [2818], 'UIP,': [2825, 2876], '$$z_{t}$$': [2826], 'forecastable:': [2830], 'Etzt+1=0.': [2831], 'think': [2835], '$$z$$': [2837], 'abnormal': [2840], 'strategy': [2846], 'analysis,': [2866, 3183], 'look': [2878], 'expressed': [2887, 3125], 'USD.': [2891, 2903, 2987, 3012], 'Carry': [2892, 4275], 'traders,': [2893], 'necessarily': [2897, 3506], 'exploit': [2907], 'AUD': [2913, 2965, 2983, 3960, 3987], 'JPY': [2920, 2938, 2989, 3008, 3023, 4022, 4044], 'recent': [2922, 2967, 2991], 'years,': [2923], 'taken': [2928], 'AUD,': [2933], '(or': [2939], 'synthetic': [2941], 'equivalent': [2942, 3201], 'OTC': [2949], 'forwards).': [2951], 'nevertheless': [2954, 3047], 'sheds': [2955], 'profitability': [2959], 'strategy.': [2963], 'years': [2968, 2992], 'offered': [2969, 2993], 'than': [2973, 2997], 'USD,': [2974, 2998], 'regressions': [2977, 3002, 3017, 3045], 'Taken': [3013], 'then,': [3015], 'AUD.': [3027], 'Thus,': [3028], 'directly': [3033], 'form': [3034, 3639], 'might': [3041], 'engage': [3042], 'in,': [3043], 'informative': [3048], 'about': [3049, 3576], 'payoffs': [3053], 'strategies.Much': [3056], 'movements.': [3067], 'end,': [3070], '($$-\\Delta': [3080], 's$$)': [3081], 'quarter': [3084], '$$t$$,': [3085], 'Skewnesst.As': [3087], 'activity,': [3093], 'Commodity': [3102], 'Futures': [3103, 3787], 'Trading': [3104], 'Commission': [3105], '(CFTC).': [3106], 'variable': [3108], 'Futurest': [3109], '(long': [3113], 'short)': [3115], 'noncommercial': [3119, 3258, 3800], 'fraction': [3128], 'open': [3131], 'all': [3134], 'traders.': [3135, 3801], 'Noncommercial': [3136], 'those': [3139], 'classified': [3142], 'using': [3144, 3646], 'hedging': [3148], 'purposes': [3149], 'CFTC.': [3152], 'basically': [3154], 'purposes.': [3165], 'five': [3172], '(CAD,': [3174], 'JPY,': [3175, 4104], 'CHF,': [3176], 'GBP,': [3177], 'EUR),': [3178], 'and,': [3179, 3222, 3260], 'last': [3187, 4115], 'available': [3188, 3285], 'CFTC': [3189], 'report': [3191], 'quarter.': [3194], 'A': [3195, 3335], 'economically': [3200], 'indeed,': [3223], 'few': [3224], 'implement': [3226], 'actually': [3231], 'spot': [3237, 3552], 'note,': [3241], 'perfect': [3249], 'imperfect': [3253], 'classification': [3254], 'commercial': [3256], 'importantly,': [3262], 'much': [3264], 'over‐the‐counter': [3275], 'Nevertheless,': [3278], 'best': [3283], 'publicly': [3284], 'data,': [3286, 3742, 4294], 'give': [3289], 'sense': [3291, 4459], 'direction': [3294], 'speculators.We': [3298], 'insuring': [3310], 'or,': [3314], 'said': [3315], 'Specifically,': [3320, 4226], 'obtain': [3322], 'JPMorgan': [3325], 'Chase': [3326], 'quotes': [3328], '25$$\\Delta': [3330, 3598], '$$': [3331, 3599], '1‐month': [3332, 3810], 'reversals.5': [3334], 'option.': [3360], 'put,': [3382, 3423], 'appreciation,': [3393], 'depreciation.6': [3401], 'underlying': [3404, 3593], 'symmetric,': [3411], 'exactly': [3417], 'offsets': [3418], 'value': [3426, 3474, 3490, 4123], 'zero.': [3432], 'differs': [3441], 'zero,': [3443], 'believe': [3445], 'positively': [3451], '(in': [3455], 'terms).': [3457], 'words,': [3460], 'constant': [3462], 'premia,': [3464], 'would': [3469, 3484, 3970, 3994, 4027, 4051], 'reversal.': [3494], 'Of': [3495], 'course,': [3496], 'premia': [3500], 'equal': [3507], 'changes.': [3515, 4157], 'Figures': [3516], 'A1,': [3517], 'A2,': [3518], 'A3': [3520], 'appendix': [3523], 'depict': [3524], 'currencies.5Taking': [3541], 'derivative': [3543], 'respect': [3549], 'gives': [3555, 3689], 'delta.': [3558], 'at‐the‐money': [3560], 'exercise': [3563], 'delta': [3574, 3621, 3634], 'half,': [3578], 'reaction': [3584], 'half': [3587], 'change': [3590, 3753], 'label': [3597], 'refers': [3600, 3789], 'how': [3602], 'far': [3603], 'out': [3604], 'money': [3607], 'are,': [3610], 'strike': [3613, 3626], '0.25,': [3623], '0.75.6Both': [3636], 'priced': [3645], 'Garman': [3648, 3684], 'Kohlhagen': [3650, 3686], 'formula,': [3652], 'modified': [3656], 'Black‐Scholes': [3657], 'formula': [3658, 3688], 'into': [3660, 3682], 'account': [3661], 'both': [3663, 3973], 'continuous': [3667], 'given': [3669], 'respective': [3672, 4094], 'Inputting': [3675], 'parameters': [3681], 'terms,': [3695], 'quoted': [3700], 'terms': [3702], 'volatility.IV.': [3705], 'ResultsA.': [3706], 'Summary': [3707, 3734, 4272], 'Statistics': [3708, 3735, 4273], 'Simple': [3710], 'Cross‐Sectional': [3711], 'EvidenceA': [3712], 'currency‐by‐currency': [3713], 'perspective.': [3714, 4191], 'begin': [3716], 'highlighting': [3718], 'some': [3719], 'basic': [3720], 'separately': [3725], 'statistics': [3729, 4061], 'Table': [3731, 3823, 3825, 3912, 4224, 4336], '1.Table': [3732], '1': [3733, 3826, 3913, 4119, 4279, 4281], '(Means)': [3736], 'AUDCADJPYNZDNOKCHFGBPEUR$$\\Delta': [3737], 's_{t}$$−.003−.002−.003−.005−.002−.004−.004−.004zt.009.004−.004.013.007−.001.009.003$$i^{*}_{t-1}-i_{t-1}$$.006.002−.007.009.005−.004.005−.001Futures': [3738], 'positions….059−.097……−.067.052.031Skewness−.322−.143.318−.297−.019.144−.094.131Risk': [3739], 'reversals−.426−.0991.059−.467.350.409.009.329Note:': [3740], 'Quarterly': [3741, 4293], '1986–2006': [3743], '(1998–2006': [3744], 'reversals).': [3747], 's_{t}$$': [3749], 'dollar),': [3765], 'zt': [3766], 'Risk': [3802], 'options,': [3816], 'described': [3818], 'text.': [3821], 'View': [3822, 4335], 'Image': [3824, 4337], 'correlation': [3834, 3925, 3936, 4077, 4432], '$$i^{*}_{t-1}-i_{t-1}$$': [3841], '$$z_{t}$$,': [3847], 'points': [3849], 'violations': [3852], 'data.': [3857, 4142], '(JPY)': [3869], '−0.004': [3871], 'had': [3873, 3899], '−0.007.': [3887], '(NZD)': [3895], '0.013': [3897], '0.009.It': [3907], 'apparent': [3910], 'clear': [3922, 4075], 'USD': [3965, 3990, 4026, 4047], 'sample': [3968, 4132], 'earned': [3972, 4029], '0.006': [3980], 'plus': [3981], '0.003': [3992], 'been': [3996, 4053], '−0.322,': [4003], 'engaging': [4016], '0.007': [4035], 'loss': [4038], '0.003,': [4049], '−0.318.The': [4059], 'differential.Finally,': [4113], 'row': [4116], 'table': [4118, 4159], 'reversals,': [4126], 'subset': [4129], '1998': [4134], 'Recall': [4143], '2,': [4162], 'bottom': [4163], 'panel,': [4164], 'skewness.A': [4189], 'looking': [4203], 'performance': [4206], 'long‐short': [4208], 'portfolios': [4209, 4344], 'vary': [4212], 'number': [4214], 'included': [4217], 'reported': [4222], '$$k$$': [4235, 4254], 'beginning': [4244, 4320], 'week': [4247], '(quarter)': [4248], 'lowest': [4258, 4332], 'weighted': [4265, 4302], '$$k=1,2,3$$.Table': [4270], 'Trade': [4276], 'Portfolio': [4277], 'Returns': [4278], 'Long,': [4280, 4283, 4286], 'Short2': [4282], 'Short3': [4285], 'ShortWeeklyQuarterlyWeeklyQuarterlyWeeklyQuarterlyAverage': [4288], 'return.002.022.001.016.001.018Standard': [4289], 'deviation.017.068.013.051.011.045Skewness−.717−.700−.537−.748−.695−.977Kurtosis2.851.6741.534.6612.5971.968Annualized': [4290], 'ratio.704.654.592.638.747.784Note:': [4292], '1986–2006,': [4295], '1992–2006': [4298], '$$k=1,2,3$$': [4311], 'week/quarter': [4323], 'k': [4328], 'ratios,': [4348], 'kurtosis.': [4354], 'fat': [4370], 'tails.We': [4371], 'no': [4373], 'kurtosis': [4381], 'get': [4382, 4457], 'diversified': [4383, 4415], 'away': [4384, 4416], 'added': [4389], 'portfolio,': [4394], 'least': [4396], 'simple': [4399], 'equal‐weighted': [4400], 'considering': [4406], 'here.': [4407], 'fact': [4409], 'easily': [4413], 'suggests': [4417], 'across': [4423], 'countries,': [4425], 'depending': [4426], 'differentials.': [4430], 'driven': [4435], 'exposure': [4437], '(crash‐)': [4440], 'later': [4444], 'driving': [4454], 'factor.To': [4456], 'magnitudes,': [4462], 'compare': [4465], 'por': [4472]}, 'cited_by_api_url': 'https://api.openalex.org/works?filter=cites:W4213212567', 'counts_by_year': [{'year': 2024, 'cited_by_count': 21}, {'year': 2023, 'cited_by_count': 41}, {'year': 2022, 'cited_by_count': 33}, {'year': 2021, 'cited_by_count': 37}, {'year': 2020, 'cited_by_count': 39}, {'year': 2019, 'cited_by_count': 33}, {'year': 2018, 'cited_by_count': 46}, {'year': 2017, 'cited_by_count': 45}, {'year': 2016, 'cited_by_count': 40}, {'year': 2015, 'cited_by_count': 35}, {'year': 2014, 'cited_by_count': 35}, {'year': 2013, 'cited_by_count': 46}, {'year': 2012, 'cited_by_count': 42}], 'updated_date': '2025-01-17T07:16:19.737531', 'created_date': '2022-02-24'}
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