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英文文献：The Time-Varying Systematic Risk of Carry Trade Strategies-套息交易策略的时变系统性风险
英文文献作者：Charlotte Christiansen,Angelo Ranaldo,Paul S?derllind
英文文献摘要：
To capture time-variation in the risk exposure of exchange rates, this paper suggests a factor model with stock and bond markets as the explanatory factors - but where the betas are allowed to depend on the exchange rate volatility. Empirical results on daily data from 1995 to 2008 show that a typical carry trade strategy based on 10 currencies from major industrialized countries has much higher exposure to the stock market and also more mean reversion in volatile periods. The findings are robust to various extensions, including adding more currencies and other regime variables.
为了捕捉汇率风险暴露的时间变化，本文提出了一个以股票和债券市场作为解释因素的因素模型，但允许贝塔系数依赖于汇率波动。从1995年到2008年的每日数据的实证结果表明，典型的基于主要工业化国家10种货币的套利交易策略对股市的敞口要大得多，在波动时期也有更多的均值回归。研究结果对各种扩展都是有力的，包括增加更多的货币和其他制度变量。
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