최신자료
Crypto Carry
We analyze the dynamics of carry in crypto markets ― the difference between futures and spot prices ― and document that it can reach exceptionally high levels, sometimes exceeding 40% per annum, with significant variation over time. This phenomenon reflects a substantial and volatile
inconvenience yield associated with holding spot cryptocurrencies relative to futures. We trace the large and volatile crypto carry to the interplay of two main forces: (i) demand from smaller, trend-chasing investors seeking leveraged exposure, and (ii) the limited deployment of arbitrage capital due to regulatory and margin frictions. Our findings highlight how structural limits to arbitrage ― especially severe in the case of crypto ― can amplify price inefficiencies across financial markets, offering lessons for understanding asset pricing and market behavior more generally.
inconvenience yield associated with holding spot cryptocurrencies relative to futures. We trace the large and volatile crypto carry to the interplay of two main forces: (i) demand from smaller, trend-chasing investors seeking leveraged exposure, and (ii) the limited deployment of arbitrage capital due to regulatory and margin frictions. Our findings highlight how structural limits to arbitrage ― especially severe in the case of crypto ― can amplify price inefficiencies across financial markets, offering lessons for understanding asset pricing and market behavior more generally.
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