Carry Trades and Global Foreign Exchange Volatility
研究了全球外汇波动率风险与利差交易超额收益的关系，发现高利率货币在波动率意外上升时表现差，而低利率货币则提供对冲。
ABSTRACT We investigate the relation between global foreign exchange (FX) volatility risk and the cross section of excess returns arising from popular strategies that borrow in low interest rate currencies and invest in high interest rate currencies, so‐called “carry trades.” We find that high interest rate currencies are negatively related to innovations in global FX volatility, and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies provide a hedge by yielding positive returns. Furthermore, we show that volatility risk dominates liquidity risk and our volatility risk proxy also performs well for pricing returns of other portfolios.