The Pricing of Forward Contracts for Foreign Exchange
研究远期外汇市场偏离无偏预期假说的现象，检验风险溢价是否同时体现在不同货币计价的债券中，实证结果支持时变风险溢价导致偏差的观点。
This paper investigates the nature of observed deviations from the unbiased expectations hypothesis in the forward foreign exchange market. If these deviations are due to risk premia then the same premia should be observed in nominal bonds denominated in different currencies. This condition imposes testable restrictions on the parameters of a mutivariate regression model. The empirical results are consistent with a world in which time varying risk premia cause the observed deviations from unbiased expectations.