An explanation of the forward premium ‘puzzle’
指出远期汇率溢价与即期汇率后续变化负相关的所谓“谜题”其实并不存在，通过一个简单模型和扩展样本数据证明远期汇率是即期汇率的无偏预测，谜题源于时间序列的非平稳性。
Existing literature reports a puzzle about the forward rate premium over the spot foreign exchange rate. The premium is often negatively correlated with subsequent changes in the spot rate. This defies economic intuition and possibly violates market efficiency. Rational explanations include non‐stationary risk premia and econometric mis‐specifications, but some embrace the puzzle as a guide to profitable trading. We suggest there is really no puzzle. A simple model fits the data: forward exchange rates are unbiased predictors of subsequent spot rates. The puzzle arises because the forward rate, the spot rate, and the forward premium follow nearly non‐stationary time series processes. We document these properties with an extended sample and show why they give the delusion of a puzzle.