Discussion paper

DP18670 Concealed Carry

The slope carry takes a long (short) position in the long-term bonds of countries with steeper (flatter) yield curves. The traditional carry takes a long (short) position in countries with high (low) short-term rates. We document that: (i) the slope carry return is slightly negative (strongly positive) in the pre (post) 2008 period, whereas it is concealed over longer samples; (ii) the traditional carry return is lower post-2008; and (iii) expected global growth and inflation declined post-2008. We connect these findings through an equilibrium model in which countries feature heterogeneous exposure to news shocks about global output and global inflation.


Andrews, S, R Colacito, M Croce and F Gavazzoni (2023), ‘DP18670 Concealed Carry‘, CEPR Discussion Paper No. 18670. CEPR Press, Paris & London. https://cepr.org/publications/dp18670