The Share of Systematic Variation in Bilateral Exchange Rates
研究发现，按美元货币贝塔排序国家可产生新的货币超额收益截面，一个斜率因子（做多高贝塔货币、做空低贝塔货币）解释了货币风险溢价，并与利差交易因子正交，两个因子解释了18%至80%的月度汇率变动。
ABSTRACT Sorting countries by their dollar currency betas produces a novel cross section of average currency excess returns. A slope factor (long in high beta currencies and short in low beta currencies) accounts for this cross section of currency risk premia. This slope factor is orthogonal to the high‐minus‐low carry trade factor built from portfolios of countries sorted by their interest rates. The two high‐minus‐low risk factors account for 18% to 80% of the monthly exchange rate movements. The two risk factors suggest that stochastic discount factors in complete markets' models should feature at least two global shocks to describe exchange rates.