We quantify the impact of risk-based and nonrisk-based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model-implied and observed derivative prices reflects the impact of nonrisk-based IC because our SDF incorporates risk-based IC. There is no wedge at short horizons, while the wedge accounts for 40% of long-term CIP violations. Consistent with IC theory, the wedge correlates with the shadow cost of intermediary capital, and the SDF-implied interest rate is a weighted average of collateralized and uncollateralized interest rates.

中文翻译：

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涵盖利率平价违规的期限结构

我们量化了基于风险和非风险的中介约束 (IC) 对涵盖利率平价 (CIP) 违规的期限结构的影响。使用从利率掉期推断出的随机贴现因子（SDF），我们对货币衍生品进行估值。模型隐含的衍生品价格与观察到的衍生品价格之间的差距反映了基于非风险的 IC 的影响，因为我们的 SDF 包含基于风险的 IC。短期内不存在楔子，而楔子占长期 CIP 违规的 40%。与 IC 理论一致，楔子与中介资本的影子成本相关，SDF 隐含利率是有抵押利率和无抵押利率的加权平均值。