Carry Trade e Risco Cambial: um Conto de Dois Fatores^*

Carry trade returns have been explained using time inseparable utility functions which allow for volatile risk premia. However these functions typically mimic closed economy preferences which depend on durable and non-durable goods. This paper returns to a more traditional classification of consumption, in international macroeconomics, into domestic and importable goods. The model is implemented for countries that represent 98,2% of the world market turnover in bilateral foreign exchange trades. We report a marked improvement in estimated consumption betas.