The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets
分析欧洲货币投资月度与季度超额美元收益的条件均值和方差的时间变化，发现过去汇率变动和远期升水可预测远期市场收益，且远期升水波动可预测汇率波动。
This article analyzes the time variation in conditional means and variances of monthly and quarterly excess dollar returns on Eurocurrency investments. All results are based on a vector autoregression with weekly sampled data on exchange-rate changes and forward premiums of three currencies. Both past exchange-rate changes and forward premiums predict future forward-market returns. Moreover, past forward-premium volatilities predict the volatility of exchange rates. Expected forward-market returns are very variable and persistent and exhibit marked comovements. These results carry over to cross-rate (e.g., yen/mark) investments as well.