The Rise of Carry: The Dangerous Consequences of Volatility Suppression and the New Financial Order of Decaying Growth and Recurring Crisis

Figures and Tables

Figure 2.1    Global banks’ net claims on significant dollar carry trade recipients

Figure 2.2    Indicators of the dollar-funded currency carry trade (US$ billion)

Figure 2.3    Circular flow of dollars

Figure 2.4    Global banks’ net claims on various carry recipient countries

Figure 2.5    Japanese banks’ net short-term foreign assets

Figure 3.1    Australia’s total credit and global banks’ net claims shifted forward

Figure 3.2    Turkey’s total credit and global banks’ net claims shifted forward

Figure 4.1    Cumulative returns to simulated currency carry strategy

Figure 4.2    Median monthly return across carry trade deciles

Figure 4.3    Implied volatility changes and stock returns during currency carry drawdowns

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