Real exchange rate persistence and the excess return puzzle: The case of Switzerland versus the US
使用I(2)协整VAR模型，发现引入由持久购买力平价缺口代理的外汇市场不确定性溢价后，超额回报之谜基本消失，支持不完全知识预期而非理性预期。
Summary The PPP puzzle refers to the wide swings of nominal exchange rates around their long‐run equilibrium values whereas the excess return puzzle represents the persistent deviation of the domestic‐foreign interest rate differential from the expected change in the nominal exchange rate. Using the I (2) cointegrated VAR model, much of the excess return puzzle disappears when an uncertainty premium in the foreign exchange market, proxied by the persistent PPP gap, is introduced. Self‐reinforcing feedback mechanisms seem to cause the persistence in the Swiss‐US parity conditions. These results support imperfect knowledge based expectations rather than so‐called “rational expectations”.