Premia in Forward Foreign Exchange as Unobserved Components: A Note
重新审视了Wolff提出的从远期汇率与未来即期汇率之差中提取风险溢价的方法，指出ARMA模型可能无法仅从该差值中识别，并提出了解决识别问题及直接估计风险溢价模型的方案。
We reconsider the signal-extraction approach to measuring premia in the pricing of forward foreign exchange, put forward by Wolff, in which the difference between the forward rate and the associated future spot rate is modeled as an autoregressive moving average (ARMA) model for the risk premium buried in a white-noise forecast error. We point out that an ARMA model for the risk premium is not always identifiable from information on the difference between the forward rate and the future spot rate only. We present solutions to the problem of identification and show how the model for the risk premium can be estimated in a direct way, provided that the identification problem is solved. For reason of comparison, we use the series analyzed by Wolff to estimate the models for risk premia. The results confirm the earlier finding that premia in forward exchange exhibit a certain degree of persistence over time.