Affine Term Structure Models and the Forward Premium Anomaly
在利率的仿射期限结构模型框架下，分析了高利率货币倾向于升值这一远期升水异象，指出该异象要求状态变量对不同货币的定价有不对称影响，或名义利率以正概率取负值，并发现这两种解释在定量上均有严重缺陷。
ABSTRACT One of the most puzzling features of currency prices is the forward premium anomaly : the tendency for high interest rate currencies to appreciate. We characterize the anomaly in the context of affine models of the term structure of interest rates. In affine models, the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that nominal interest rates take on negative values with positive probability. We find the quantitative properties of either alternative to have important shortcomings.