"There is an outside risk of sharp correction if risk appetite sours," Mizuho said.
Another possible headwind may come from a potential slowdown of fund flows from Japan.
While New Zealand has seen a resurgence of interest from Japanese bond investors, "these flows are unlikely to be sustained given they are at the expense of other markets rather than reflecting a broader pick-up in flows from Japan," Richard Yetsenga, head of global markets research at ANZ, said in a note last month.
Read More Commentary: What history tells us about the carry trade: El-Erian
He noted that while issuance of New Zealand dollar-denominated Uridashi, or bonds denominated in foreign currencies and sold to Japanese household investors, appears to have doubled from last year, it's likely to come in around $1.5 billion this year, well below the $4 billion-$6 billion levels in 2007-10.
Similarly, New Zealand dollar holdings of "toushin" funds, or mutual funds, are only up around $10 million from their lows, signaling only stabilization after sharp decline in flows over 2011-13, he said.
ANZ expects the kiwi will only fetch $0.83 by year end, compared with the current around $0.8760.
Read More It may be four rate hikes in a row for New Zealand
To be sure, some expect the kiwi carry trade will continue to perform.
"While the expected drop in dairy prices could put some pressure on the New Zealand dollar, export prices should remain elevated in general," Gary Yau, an analyst at Credit Agricole, said in a mid-year strategy update this week.
"Further rate hikes by the central bank and strong growth momentum should offset any negative impacts," he said. Despite subdued inflation and a soft labor market, he expects the RBNZ's tightening cycle won't be interrupted amid signs of pressure on capacity.
—By CNBC.Com's Leslie Shaffer; Follow her on Twitter