Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets
发现即使调整了各国收益率曲线隐含的时变风险溢价，无抛补利率平价仍被数据强烈拒绝；预测债券超额收益的因素对外汇收益无显著预测力，表明外汇与债券市场可能未完全整合，需超越利率风险理解汇率异常。
This paper shows that even adjusted for the time‐varying risk premiums implied by the yield curves across countries, uncovered interest parity is still strongly rejected by the data. Moreover, factors that predict the excess bond returns are found not significant at all in predicting the foreign exchange returns. These results reject the joint restrictions on the exchange rate and interest rates imposed by dynamic term‐structure models, suggesting that foreign exchange markets and bond markets may not be fully integrated and we have to look beyond interest rate risk in order to understand the exchange rate anomaly.