Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal‐Extraction Approach
运用工程领域的信号提取技术来识别和衡量远期外汇定价中的溢价，发现溢价具有持续性，且解释了远期汇率预测误差中超过一半的方差。该方法可推广至其他金融市场中不可观测变量的测量。
ABSTRACT In this paper, we implement a methodology to identify and measure premia in the pricing of forward foreign exchange that involves application of signal‐extraction techniques from the engineering literature. Diagnostic tests indicate that these methods are quite successful in capturing the essence of the time‐series properties of premium terms. The estimated premium models indicate that premia show a certain degree of persistance over time and that more than half the variance in the forecast error that results from the use of current forward rates as predictors of future spot rates is accounted for by variation in premium terms. The methodology can be applied straightforwardly to the measurement of unobservables in other financial markets.