The Effect of Errors in Variables on Tests for a Risk Premium in Forward Exchange Rates
指出传统检验远期汇率风险溢价时，用事后即期汇率作为事前预期的代理变量会导致严重的变量误差问题，从而难以拒绝零风险溢价的假设；改用更好的代理变量后，发现所有分析国家的远期汇率均存在风险溢价。
ABSTRACT Conventional tests for a risk premium in the price of forward exchange use the subsequently realized spot rate as a proxy for prior expectations. Use of this proxy creates a serious errors‐in‐variables problem which makes it difficult to reject the null hypothesis of zero risk premium. Use of a better proxy for expectations indicates the presence of a risk premium in the forward exchange rate of all countries analyzed.