We show that three traded risk factors---Dollar, Carry, and Euro-Yen---propagate demand shocks across currencies. Identified using a novel approach that combines trading and return data, these factors explain 90% of the non-diversifiable risk intermediaries bear in currency trading. IV estimates show that factor prices rise by 5–30 basis points per $1 billion of demand. A demand shock to one currency changes demand for these risk factors, affecting their prices and prices of other currencies with shared exposures. Non-currency assets are also exposed to these risks, allowing demand shocks to propagate across markets through shared currency risk.