The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
在两国一般均衡模型中引入变量速度、耐久性和习惯持续性，探讨其对汇率变化、远期溢价和外汇风险溢价波动性的影响，发现模型虽能匹配远期溢价的持续性，但无法在不过度放大汇率波动的前提下产生足够多变的风险溢价。
This article successively introduces variable velocity, durability, and habit persistence in a standard two-country general equilibrium model and explores their effects on the variability of exchange rate changes, forward premiums, and the foreign exchange risk premium. A new feature of the model is that agents make decisions at a weekly frequency and face conditionally heteroskedastic shocks. Nevertheless, even the most complex model fails to deliver sufficiently variable risk premiums without causing forward premiums and exchange rates to be excessively variable. Unlike previous models, the model can roughly match the persistence of forward premiums.