Currency Carry, Momentum, and Global Interest Rate Volatility
研究发现货币利差和动量策略的回报补偿了全球利率波动率风险，风险敞口解释了92%的截面回报差异，并通过外汇中介渠道发挥作用。
Abstract Returns to currency carry and momentum compensate for the risk of global interest rate volatility (IRV), with risk exposures explaining 92% of the cross-sectional return variations. This unified explanation stems from its impact on foreign exchange intermediaries. An intermediary-based exchange rate model shows that a higher global IRV increases the uncertainty of future risk-taking and tightens current financial constraints. Position unwinding triggers loss of carry and momentum. Additional empirical results confirm this economic channel. Global IRV risk is also negatively priced in other currency strategies and momentum. The explanatory power is not driven by existing measures of uncertainty or intermediary constraints.