Carry Trades and Global Foreign Exchange Volatility
Carry Trades and Global Foreign Exchange Volatility
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DOI：
10.1111/j.1540-6261.2012.01728.x
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发表时间：
2011-02
期刊：
影响因子：
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通讯作者：
Lukas Menkhoff;Lucio Sarno;Maik Schmeling;A. Schrimpf
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作者：
Lukas Menkhoff;Lucio Sarno;Maik Schmeling;A. Schrimpf
我们调查了全球外汇(FX)波动风险与流行策略产生的超额回报之间的关系，这些策略借入低利率货币，投资于高利率货币，即所谓的“套利交易”。我们发现，高利率货币与全球外汇波动性的创新负相关，因此在意外的高波动性时期提供低回报，而低利率货币通过产生正回报来提供对冲。我们的全球外汇波动风险代理捕获了五个套利交易投资组合中90%以上的横截面超额回报。反过来，这些结果提供了证据，表明外汇市场存在经济上有意义的风险-收益关系。进一步分析表明，流动性风险对预期外汇回报也有影响，但程度不及波动率风险。最后，对我们的波动率风险代理的敞口在外汇、美国股票和公司债券市场的其他横截面的收益定价中也表现良好。
We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess returns arising from popular strategies that borrow in low interest rate currencies and invest in high-interest rate currencies, so-called 'carry trades'. We find that high interest rate currencies are negatively related to innovations in global FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross-sectional excess returns in five carry trade portfolios. In turn, these results provide evidence that there is an economically meaningful risk-return relation in the FX market. Further analysis shows that liquidity risk also matters for expected FX returns, but to a lesser degree than volatility risk. Finally, exposure to our volatility risk proxy also performs well for pricing returns of other cross sections in foreign exchange, U.S. equity, and corporate bond markets.