Forward Premia and Risk Premia in a Simple Model of Exchange Rate Determination
在理性预期框架下，将风险溢价视为外生，推导出汇率等于基本面与风险溢价未来值的加权和。发现若风险溢价是暂时的，其水平与升值率负相关，与回归结果符号一致，但需用变量误差法才能得到无偏估计。用加拿大数据得到货币市场参数的合理估计。
This paper develops the standard rational expectations model of exchange rate determination with risk premia taken as exogenous. The exchange rate is equal to a weighted sum of all future values of the fundamentals and risk premia. Specifically, if risk premia are percei ved to be temporary, then their levels are negatively associated with rates of appreciation. This finding is consistent in sign with the results from the conventional regression equation, but the theory indicates that to obtain unbiased estimates, errors-in-variables techniques must be employed. Plausible estimates for the money market parameters are found from Canadian data. Copyright 1988 by Ohio State University Press.