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.

中文翻译：

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货币套利交易收益中的中间资产定价

本文研究了如何在货币套利交易中对中间资本风险 (ICR) 进行定价。在样本内和样本外设置中，ICR 对时间序列货币回报具有很强的解释力。ICR 也是货币回报的关键驱动因素，横截面的风险价格为正，这表明金融中介机构是货币市场的边际投资者。我们发现 ICR 的不对称效应，货币对负 ICR 更敏感。而且，ICR的异质性仅对新兴经济体显着，关系的经济渠道源于ICR对中介风险规避的影响。