Distribution of Spot and Forward Exchange Rates: Empirical Evidence and Investor Valuation of Skewness and Kurtosis*
研究了八种主要货币在浮动汇率时期即期汇率、远期汇率和风险溢价的统计分布，发现它们显著偏离正态分布，且远期风险溢价反映了投资者对偏度的偏好以及对标准差和峰度的厌恶。
ABSTRACT This paper examines the statistical distribution of exchange rates for eight major currencies for the post‐1973 floating rate period. The results show that spot rates, forward rates, and ex‐post risk premia all exhibit significant, persistent, but varying deviations from normality, and that the risk premia in forward rates reflect investor preferences for skewness and investor aversion towards standard deviation and kurtosis. These results imply that foreign currency forecasting and hedging practices, mean‐variance portfolio analysis, pricing of foreign currency options, and other research involving exchange rates should account for these significant deviations from normality.