Forward Discount Bias: Is it an Exchange Risk Premium?
利用汇率预期调查数据，将远期贴水偏差分解为风险溢价和预期误差两部分，发现样本中偏差完全来自预期误差而非风险溢价，且风险溢价波动性并不高于预期贬值。
A common finding is that the forward discount is a biased predictor of future exchange rate changes. We use survey data on exchange rate expectations to decompose the bias into portions attributable to the risk premium and expectational errors. None of the bias in our sample reflects the risk premium. We also reject the claim that the risk premium is more variable than expected depreciation. Investors would do better if they reduced fractionally the magnitude of expected depreciation. This is the same result that many authors have found with forward market data, but now it cannot be attributed to risk.