The Conditional Price of Basis Risk: An Investigation Using Foreign Exchange Instruments
使用条件多因子模型，证明外汇工具基差包含随时间变化的风险溢价，该溢价与基差的条件风险及所有资产市场系统性风险的条件价格相关，且随对冲工具期限增加而上升。
Abstract: This paper uses a conditional multifactor model and shows that the basis of foreign currency instruments includes a time‐varying risk premium that is related to the conditional risk of the basis and to the conditional prices of systematic risk present in all assets markets. The result therefore reinforces the view, initially put forward by Bailey and Chan (1993) , that the basis is priced rationally in an efficient market. The article also shows that the premium for basis risk increases with the maturity of the instruments used for hedging.