Rethinking Deviations From Uncovered Interest Parity: the Role of Covariance Risk and Noise
检验了标准跨期资产定价模型和噪声交易模型能否解释远期外汇溢价为何以“错误”符号预测未来货币贬值，发现跨期模型无法预测正确符号的风险溢价，而噪声交易模型得到调查预期的部分支持。
We examine the ability of the standard intertemporal asset pricing model and a model of noise trading to explain why the forward foreign exchange premium predicts the future currency depreciation with the ‘wrong’ sign. We find that the intertemporal asset pricing model is unable to predict risk premia with the correct sign to be consistent with the data. The noise‐trader model, while highly stylised, receives fragmentary support from empirical research on survey expectations.