Understanding the Forward Premium Puzzle: A Microstructure Approach
认为外汇市场参与者之间的逆向选择问题可以解释高利率货币相对于低利率货币升值的“远期溢价之谜”，模型关键特征是做市商面临的逆向选择在交易者逆公共信息信号交易时更严重。
High interest rate currencies tend to appreciate relative to low interest rate currencies. We argue that adverse selection problems between participants in foreign exchange markets can account for this “forward premium puzzle.” The key feature of our model is that the adverse selection problem facing market makers is worse when an agent wants to trade against a public information signal. So, when based on public information, the currency is expected to appreciate, there is more adverse selection associated with a sell order than with a buy order.