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TítuloExchange policy credibility through the lens of the carry trade: The Mexican peso and the Brazilian real

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Table 1: Results of the carry strategies on the MXN 5:2000-5:2018, daily data.  MXNUSD  Long Only  Long Flat  Long Short  Average Annual  Return  0,65%  0,89%  0,30%  Standard Deviation  11,40%  6,97%  11,40%  Downside Deviation  8,36%  5,06%  7,91%  Maxim
Figure 1. MXNUSD Long Only Carry. Source: Authors elaboration from financial series  extracted from  Bloomberg
Table 2. Results of the carry strategies on the BRL 5:2000-5:2018, daily data.
Figure 3 shows that the excess returns and the effect on the exchange rate of the currency  pair have the right signs, i.e
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