Data and code
Data for Carry Trades and Global Foreign Exchange Volatility, Journal of Finance, 67, 681-718, 2012 - with Lukas Menkhoff, Maik Schmeling and Andreas Schrimpf.
Note: Please note that these data are for log returns and replicate the summary stats in Table 1 of the paper (also Figure 1). Specifically, the file contains the portfolio log returns (adjusted for bid-ask spreads) for both currency universes (“All” and “Developed” countries), and the volatility factor/s.
As described in the paper, all asset pricing tests (basically from Table 2 onwards) are done using discrete returns (see Footnote 17 in the paper). Therefore, to replicate them, compute discrete portfolio returns from the five portfolio log-returns, recalculate DOL and carry excess returns (the HML) accordingly, and conduct the tests on these discrete returns following carefully the description of methods given in the paper and its Appendix.
Database on central bank FX intervention for Foreign Exchange Intervention: A New Database, with Marcel Fratzscher, Tobias Heidland, Lukas Menkhoff and Maik Schmeling, IMF Economic Review, forthcoming
Replication code for Currency Risk Premiums Redux, with Federico Nucera and Gabriele Zinna, Review of Financial Studies, forthcoming