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- Title
The JPY/AUD Carry Trade and Its Causal Linkages to Other Markets.
- Authors
Deaton, Brian D.
- Abstract
This study analyzes the causal structure underlying the popular Japanese Yen/Australian Dollar (JPY/AUD) carry trade and related financial variables. Three causal search algorithms are employed to find the relationships amongst the JPY/AUD exchange rate, the S&P 500 stock index, the Nikkei 225 stock index, the Australian Securities Exchange 200 stock index, the 10-year U.S. Treasury Note, the 10- year Japanese government bond, and the 10-year Australian government bond. The results from all three algorithms provide evidence against the theory of uncovered interest rate parity.
- Subjects
NIKKEI 225; STOCK exchanges; COMMERCE; INTEREST rates; TREASURY bills; JAPANESE yen
- Publication
Journal of Applied Business & Economics, 2020, Vol 22, Issue 1, p25
- ISSN
1499-691X
- Publication type
Article
- DOI
10.33423/jabe.v22i1.2713