Exchange rate volatility and deviations from unbiasedness in a cash-in-advance model
在Svensson现金先行模型框架下，利用美日数据模拟汇率变化、远期升水和远期偏差的时间序列性质，发现模型虽能通过矩估计检验，但无法产生足够波动的远期市场投机风险溢价，也无法同时匹配汇率和远期升水的波动性。
This paper examines time-series properties of exchange rate changes, the forward premium and the forward bias in the context of a variant of Svensson's cash-in-advance model. The model is solved and simulated using realistic forcing processes whose law of motion is estimated from U.S.-Japan data and then approximated by a Markov chain. Although method of moments estimation shows that the over-identifying restrictions implied by the model are not rejected, it fails dramatically in producing a sufficiently variable risk premium on forward market speculation. This result is robust to various pertubations to the model's parameters, forcing processes and preference structure. The model also fails to match exchange rate and forward premium volatility simultaneously.