Carry Trades, Order Flow, and the Forward Bias Puzzle
研究了外汇订单流与远期贴水的关系，发现订单流解释了超过一半的远期贴水，其余由预期误差解释，且利差交易通过订单流增加货币崩盘风险。
We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time‐varying risk premium consistent with that bias. Using 10 years of data on FX order flow, we find that more than half of the forward bias is accounted for by order flow—with the rest being explained by expectational errors. We also find that carry trading increases currency‐crash risk in that order flow generates negative skewness in FX returns.