We propose and estimate a quantitative model of exchange rates in which participants in the foreign exchange market are intermediaries subject to value-at-risk (VaR) constraints. Higher volatility translates into tighter VaR constraints, and intermediaries require higher returns to hold foreign assets. Therefore, the foreign currency is expected to appreciate. The model quantitatively resolves the Backus-Smith puzzle, the forward premium puzzle, and the exchange rate volatility puzzle and explains deviations from the covered interest rate parity. Moreover, the model implies both contemporaneous and predictive relations between proxies of leverage constraint tightness and exchange rates. These implications are supported in the data.

我们提出并估计一种汇率的量化模型，在该模型中，外汇市场参与者是受风险价值（VaR）约束的中介机构。更高的波动性意味着更严格的VaR约束，中介机构要求更高的回报来持有外国资产。因此，预计外币将升值。该模型定量地解决了Backus-Smith难题，远期溢价难题和汇率波动难题，并解释了与涵盖的利率平价的偏差。此外，该模型还暗示了杠杆约束紧度和汇率代理之间的同时性和预测性关系。这些含义在数据中得到支持。