Intermediary asset pricing in currency carry trade returns
研究了中介资本风险如何定价货币套利交易收益，发现其对时间序列和横截面货币收益均有强解释力，且新兴经济体影响更显著。
Abstract This paper examines how intermediary capital risk (ICR) is priced in currency carry trades. In both in‐sample and out‐of‐sample settings, ICR holds strong explanatory power for time‐series currency returns. ICR is also a key driver of currency returns with a positive risk price in the cross section, suggesting that financial intermediaries are marginal investors in currency markets. We find an asymmetric effect of ICR, with currencies being more sensitive to negative ICR. Moreover, heterogeneity of ICR is significant only for emerging economies, and the economic channel for the relationship stems from the influence of ICR on intermediary risk aversion.