If you're so smart: John Maynard Keynes and currency speculation in the interwar years
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Peer-reviewed
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Authors
Chambers, AD
Accominotti, O
Abstract
This article explores the risks and returns to currency speculation during the 1920s and 1930s. We study the performance of two well-known technical trading strategies (carry and momentum) and compare them with that of a fundamentals-based trader: John Maynard Keynes. Technical strategies were highly profitable during the 1920s and even outperformed Keynes. In the 1930s, however, both technical strategies and Keynes performed relatively poorly. While our results reveal the existence of profitable opportunities for currency traders in the interwar years, they suggest that such profits were necessary compensation for enduring the substantial risks that all strategies entailed.
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Keywords
carry, momentum, foreign exchange, currency markets, currency crises
Journal Title
Journal of Economic History
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Journal ISSN
1471-6372
1471-6372
1471-6372
Volume Title
76
Publisher
Cambridge University Press
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Sponsorship
David Chambers acknowledges the support of the Newton Centre for Endowment Asset Management, Judge Business School, and of a Keynes Fellowship from Cambridge University.