This paper studies how several macrofinancial factors are associated over time with the evolution of covered interest parity (CIP) deviations in the decade after the Global Financial Crisis. Changes in a number of risk- and policy-related factors have a significant association with the evolution of CIP deviations. Key measures of FX market liquidity and intermediaries' risk-taking capacity are strongly correlated with the cross-currency basis (the deviation from CIP), and the close relationship between broad U.S. dollar strength and the basis is driven mainly by a common factor depending on other safe-haven currencies' comovements. Post-crisis monetary policies also play a role, as demonstrated by the relationship between CIP deviations, central bank balance sheets, and term premia. Risk-related factors have more explanatory power than monetary policy-related factors over the entire 2010–2018 period, but they are approximately equally influential over the period's second half. Further highlighting the role of bank regulation, we offer evidence that the year-end dynamics of the three-month dollar basis depend on financial regulations targeting global systemically important financial institutions.

本文研究了全球金融危机爆发后的十年中，几种宏观金融因素如何随时间推移与担保权益平价（CIP）偏差的演变相关。许多与风险和政策相关的因素的变化与CIP偏差的演变密切相关。外汇市场流动性和中介机构承担风险的能力的关键指标与交叉货币基础（与CIP的偏离）密切相关，而广义美元走强与基础之间的密切关系主要取决于一个共同因素，取决于其他避险货币的联动。CIP偏差，中央银行资产负债表和长期溢价之间的关系证明了危机后的货币政策也发挥了作用。在整个2010-2018年期间，与风险相关的因素比与货币政策相关的因素具有更强的解释力，但在该期间的下半年，它们具有大致相同的影响力。我们进一步强调了银行监管的作用，提供了证据表明，三个月美元基准的年终动态取决于针对全球具有系统重要性的金融机构的金融监管。