Risk and Parity in Purchasing Power
指出，在有效市场中，购买力平价的偏离常归因于时变风险溢价，但风险溢价通常不等于事前实际利率差。实证发现风险溢价比事前实际利率差更能解释偏离，且两者对同一共同因子成比例反应。
Deviations from purchasing power parity in efficient markets are often attributed to time-varying risk premiums. Some models have also identified the risk premiums to be the expected real interest rate differentials. This paper shows that risk premiums generally are not equal to ex ante real rate differentials. Empirically, the author finds risk premiums to be better than ex ante real rate differentials in accounting for deviations from purchasing power parity. In addition, both the risk premiums and the deviations from purchasing power parity respond proportionately to a single common factor. Copyright 1990 by Ohio State University Press.