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The JPY/AUD Carry Trade and Its Causal Linkages to Other Markets
2020
Journal of Applied Business and Economics
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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 10year Japanese government bond, and the 10-year Australian government bond. The results from all three
doi:10.33423/jabe.v22i1.2713
fatcat:fqpkhs4kqnhvpbantsug2lxuyu