Intermediary asset pricing in currency carry trade returns

被引：0

作者：

Yin, Libo ^{[1
]}

Nie, Jing ^{[1
]}

机构：

[1] Cent Univ Finance & Econ, Sch Finance, 39 South Coll Rd, Beijing 100081, Peoples R China

来源：

JOURNAL OF FUTURES MARKETS | 2021年 / 41卷 / 08期

基金：

中国国家自然科学基金;

关键词：

carry trade excess returns; emerging economies; intermediary capital risk; risk aversion; EXCESS RETURNS; EXCHANGE-RATES; CROSS-SECTION; RISK PREMIA; UNCERTAINTY; PERFORMANCE; ARBITRAGE; LIQUIDITY; ACCURACY; TESTS;

D O I：

10.1002/fut.22198

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines how intermediary capital risk (ICR) is priced in currency carry trades. In both in-sample and out-of-sample settings, ICR holds strong explanatory power for time-series currency returns. ICR is also a key driver of currency returns with a positive risk price in the cross section, suggesting that financial intermediaries are marginal investors in currency markets. We find an asymmetric effect of ICR, with currencies being more sensitive to negative ICR. Moreover, heterogeneity of ICR is significant only for emerging economies, and the economic channel for the relationship stems from the influence of ICR on intermediary risk aversion.

引用

页码：1241 / 1267

页数：27

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