Random Walk Expectations and the Forward Discount Puzzle
探究汇率接近随机游走与利率差异可预测汇率变化这两个看似矛盾的现象是否相关，发现随机游走预期能解释远期贴水之谜，但前提是外汇投资组合调整不频繁。
Two well-known, but seemingly contradictory, features of exchange rates are that they are close to a random walk while at the same time exchange rate changes are predictable by interest rate differentials. In this paper we investigate whether these two features of the data may in fact be related. In particular, we ask whether the predictability of exchange rates by interest differentials naturally results when participants in the FX market adopt random walk expectations. We find that random walk expectations can explain the forward discount puzzle, but only if FX portfolio positions are revised infrequently. In contrast, with frequent portfolio adjustment and random walk expectations, we find that high interest rate currencies depreciate much more than what UIP would predict.