In this paper, we document that the predictive capacity of forward discounts on future currency returns not only differs across currencies but also persists. We then propose a new currency carry trade strategy that relies on the differential predictive capacity of forward discounts. We find that the new strategy offers a significant amount of profit improvement over the conventional currency carry trade strategy. We also find that emerging market currencies provide relatively large profit opportunities. While both strategies show decreasing carry trade profits as FX markets get volatile, the relative outperformance of the new carry trade strategy tends to be found in stable periods but disappears in volatile periods. The superiority of the new carry trade relative to the conventional carry trade is robust to various specification changes.

在本文中，我们记录了远期折现对未来货币收益的预测能力不仅在不同货币之间有所不同，而且还会持续存在。然后，我们提出一种新的货币套利交易策略，该策略依赖于远期折扣的差异预测能力。我们发现，与传统的货币套利交易策略相比，新策略可显着提高利润。我们还发现，新兴市场货币提供了相对较大的获利机会。尽管两种策略均显示随着外汇市场波动而套利交易利润下降，但新套利交易策略的相对表现往往在稳定时期内发现，但在波动时期内消失。新的套利交易相对于传统的套利交易的优势对于各种规格变化具有鲁棒性。