The Time-Varying Systematic Risk of Carry Trade Strategies
研究发现套利交易策略的股票市场暴露和均值回归特性随外汇波动率变化，时变系统性风险模型比传统模型更好地解释了套利交易表现，部分解决了未抛补利率平价之谜。
Abstract We explain the currency carry trade (CT) performance using an asset pricing model in which factor loadings are regime dependent rather than constant. Empirical results show that a typical CT strategy has much higher exposure to the stock market and is mean reverting in regimes of high foreign exchange volatility. The findings are robust to various extensions. Our regime-dependent pricing model provides significantly smaller pricing errors than a traditional model. Thus, the CT performance is better explained by a time-varying systematic risk that increases in volatile markets, suggesting a partial resolution of the uncovered interest parity puzzle.