德银-新兴市场-外汇市场-新兴市场外汇支撑的奇特案例-20180123-12页

DeutscheBankMarketsResearchEmergingMarketsSpecialReportEconomicsForeignExchangeFXSpotFXVolatilityDate23January2018ThecuriouscaseofEMFXCarry________________________________________________________________________________________________________________DeutscheBankSecuritiesInc.DISCLOSURESANDANALYSTCERTIFICATIONSARELOCATEDINAPPENDIX1.MCI(P)083/04/2017.DrausioGiacomelliStrategist(+1)212250-7355drausio.giacomelli@db.comJundongZhangResearchAssociate(+44)20754-72056jundong-a.zhang@db.comGautamKalani,Ph.D.Strategist(+44)20754-57066gautam.kalani@db.comEMassets–andFXinparticular–havelongbeenconsideredanalogoustothe“carrytrade”.Althoughcarryisstillanimportantcomponentoftotalperformance,theglobalfinancialcrisis(GFC)andQEhavebeenassociatedwithamarkedchangeintheimportanceandnatureofcarrycontributionstototalreturns.Notonlycarryhasbeco