An Analysis of Intertemporal Pricing for Forward Foreign Exchange Contracts
用一个含不可观测时变风险溢价的资产定价模型来给远期外汇合约定价，重点考察不同国家与期限的远期合约，发现模型在多数情况下稳健，但短期国别冲击下可能失效。
ABSTRACT An asset‐pricing model with an unobservable time‐varying risk premium is used to price forward foreign exchange contracts. Specifically, the term spectrum of forward foreign exchange contracts is examined in order to focus on country‐specific and maturity‐specific information. The testable restrictions imposed by the model are consistent with both cross‐country and cross‐maturity forward contracts except at the short end of the maturity spectrum for cross‐country forward exchange rates. This indicates that the intertemporal model is relatively robust in valuing forward contracts of different maturities and for different exchange rates but that it may fail when there are significant short‐term country‐specific shocks.