The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks
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We show that Eurozone bank risks during 2007-2012 can be understood as a "carry trade" behavior. Bank equity returns load positively on peripheral (Greece, Ireland, Portugal, Spain and Italy, or GIPSI) bond returns and negatively on German government bond returns, a position that generated "carry"
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美国国家经济研究局创建时间：
2013-05-01
