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Abstracts prior to volume 5(1) have been archived!

Issue 5(1), October 2010 -- Paper Abstracts
Girard  (p. 9-22)
Cooper (p. 23-32)
Kunz-Osborne (p. 33-41)
Coulmas-Law (p.42-46)
Stasio (p. 47-56)
Albert-Valette-Florence (p.57-63)
Zhang-Rauch (p. 64-70)
Alam-Yasin (p. 71-78)
Mattare-Monahan-Shah (p. 79-94)
Nonis-Hudson-Hunt (p. 95-106) 



JOURNAL OF APPLIED BUSINESS AND ECONOMICS


The JPY/AUD Carry Trade and Its Causal Linkages to Other Markets



Author(s): Brian D. Deaton

Citation: Brian D. Deaton, (2020) "The JPY/AUD Carry Trade and Its Causal Linkages to Other Markets," Journal of Applied Business and Economics, Vol. 22, Iss.1,  pp. 25-35

Article Type: Research paper

Publisher: North American Business Press

​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.