Re-Examining the Behavior of Real Exchange Rates
研究发现，除一种汇率外，实际汇率与实际利率差和风险溢价相关，支持实际汇率非随机游走，货币因素可能是重要决定因素。
This study shows that the real exchange rate is related to the real interest rate differential and risk premium for all but one of the exchange rates investigated, when these two explanatory factors are proxied by forward premia. In general, our results are consistent with the literature that rejects the notion that real exchange rates follow a martingal and suggest that monetary factors may be important determinants of real exchange rates.