This study investigates asymmetric dependence and its dynamics across returns to carry trades, stocks, and bonds using a copula‐based model. We show evidence for a significant increase in carry trade‐stock dependence and substantially negative carry trade‐bond and stock‐bond comovements since the 2007–2008 global financial crisis. We also assess the out‐of‐sample predictability of dependence in the context of asset‐allocation strategies, and find that risk‐averse investors obtain significant economic values by incorporating asymmetry and dynamics into dependence timing, particularly in the 2007–2008 crisis. These findings provide new implications for asset‐allocation strategies and risk management during turbulent market phases.

中文翻译：

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不对称和动态在套利交易和一般金融市场中的作用

本研究使用基于copula的模型研究了不对称依赖及其在套利交易，股票和债券中的回报之间的动态关系。自2007-2008年全球金融危机以来，我们证明了套利交易对股票的依赖性显着增加，而套利交易债券和股票债券联动则显着下降。我们还评估了在资产分配策略的背景下依存关系的样本外可预测性，发现厌恶风险的投资者通过将不对称性和动态因素纳入依存时机而获得了可观的经济价值，尤其是在2007-2008年危机中。这些发现为动荡的市场阶段中的资产分配策略和风险管理提供了新的含义。