Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity
在跨期资产定价模型框架下，利用每周即期汇率和欧洲货币利率数据，检验无抛补利率平价偏离中是否存在随时间变化的风险溢价，对国际金融和汇率研究者有参考价值。
In the intertemporal asset pricing model, investments in spot foreign currencies involve time-varying risk proportional to the conditional covariance of the value of the position with the intertemporal marginal rate of substitution of domestic currency. We detect such risk premia in deviations from uncovered interest rate parity using weekly spot currency prices and Eurocurrency interest rates. Our tests use the conditional capital asset pricing model with a world equity index as benchmark to represent aggregate wealth.