Abstract

We introduce a covariance and spread (i.e., exchange rate forward discount) adjusted carry factor that prices the cross-section of FX market returns, where many other single- and multifactor models fail. Both the covariance matrix of exchange rate growths and forward discounts contain important information for pricing that is not captured by well-known factors. The time-varying conditional covariance matrix and forward discounts forecast future realized currency returns. (JEL F31, F37, G12, G15, G17)

中文翻译：

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货币市场中协方差和价差的定价影响

摘要

我们引入了一个协方差和价差（即汇率远期折扣）调整的套利因子，它为外汇市场收益的横截面定价，而许多其他单因子和多因子模型都失败了。汇率增长和远期折扣的协方差矩阵都包含重要的定价信息，这些信息没有被众所周知的因素捕捉到。时变条件协方差矩阵和远期折扣预测未来实现的货币回报。（杰尔F31、F37、G12、G15、G17）