New Evidence on the Forward Premium Puzzle
重新检验远期溢价异常现象，发现使用滞后的远期利率差时，传统回归系数的符号发生逆转，这一新证据与汇率取决于利率差和购买力平价偏离程度的模型一致。
Abstract The forward premium anomaly (exchange rate changes are negatively related to interest rate differentials) is one of the most robust puzzles in financial economics. We recast the underlying parity relation in terms of lagged forward interest rate differentials, documenting a reversal of the anomalous sign on the coefficient in the traditional specification. We show that this novel evidence is consistent with recent empirical models of exchange rates that imply exchange rate changes depend on two key variables: the interest rate differential and the magnitude of the deviation of the current exchange rate from that implied by purchasing power parity.