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