The Term Structure of Currency Carry Trade Risk Premia
研究发现，固定投资期限下，货币利差交易的回报随外国债券期限增加而下降，原因是本币期限溢价抵消了货币风险溢价，且现有无套利模型无法匹配这一现象。
Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases. Across developed countries, the local currency term premia, which increase with the maturity of the bonds, offset the currency risk premia. Similarly, in the time-series, the predictability of foreign bond returns in dollars declines with the bonds’ maturities. Leading no-arbitrage models in international finance do not match the downward term structure of currency carry trade risk premia. We derive a simple preference-free condition that no-arbitrage models need to reproduce in the absence of carry trade risk premia on long-term bonds.