Exchange Rates, Interest Rates, and the Risk Premium
梳理了无抛补利率平价的两个谜题：高利率国家短期存款预期回报高，高实际利率国家货币更强。现有模型难以同时解释两者，并讨论了一个可能的调和模型。
The uncovered interest parity puzzle concerns the empirical regularity that high interest rate countries tend to have high expected returns on short term deposits. A separate puzzle is that high real interest rate countries tend to have currencies that are stronger than can be accounted for by the path of expected real interest differentials under uncovered interest parity. These two findings have apparently contradictory implications for the relationship of the foreign-exchange risk premium and interest-rate differentials. We document these puzzles, and show that existing models appear unable to account for both. A model that might reconcile the findings is discussed.