The developed market currency tango: Carry trade and hedging during 2014 – 2019. VECM and DCC approach
In this study carry trade activity in AUD, CAD, EUR and YEN vis the USD between 2014 – 2019 was analysed. The first approach employs a VECM, analyse evidence of carry trade recorded in the exchange rate pairs Futures, Forwards and Spot. Results show evidence of carry with the USD being the target currency, while the others being the funding currency. However, the AUD shows specific traits of carry
