How Much Asymmetry Is There in Bond Returns and Exchange Rates?

Ippei Fujiwara, Lena Mareen Körber, Daisuke Nagakura
2011 Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute Working Papers  
We measure asymmetries in the distribution of bond returns and exchange rates and test their statistical signi...cance. Asymmetries are sizable when measured by the coe¢ cient of skewness, a measure that is highly a¤ected by outliers. In contrast, robustly measured asymmetries to outliers often disagree in sign or size, implying that much of the asymmetries measured by the coe¢cient of skewness can be attributed to extreme observations. Asymmetries in many government bonds returns are only
more » ... turns are only statistically signi...cant according to tests based on the coe¢ cient of skewness. On the contrary, only tests based on robust measures indicate statistically signi...cant asymmetries in the exchanges rates of Japanese Yen, a major funding currency for carry trades, as well as in New Zealand Dollar and Australian Dollar, major investing currencies for carry trades. This observation suggests that sources of asymmetry in carry trades and in government bond returns can be fundamentally di¤erent.
doi:10.24149/gwp93 fatcat:dfh5za7c7vf6jnlf3xcsd2f4vm