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.

中文翻译：

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 隐蔽携带


斜率利差在收益率曲线较陡（较平坦）的国家的长期债券中持有多头（空头）头寸。传统套利在短期利率高（低）的国家持有多头（空头）头寸。我们记录到：(i) 2008 年之前（之后）期间的斜率利差回报略为负值（强正值），而在较长的样本中则被隐藏； (ii) 2008 年之后传统的利差回报率较低； (iii) 2008 年后全球经济增长和通胀预期下降。我们通过均衡模型将这些发现联系起来，在该模型中，各国对全球产出和全球通胀的新闻冲击的暴露程度存在差异。