The Quanto Theory of Exchange Rates
提出了一个将预期汇率升值与风险中性协方差项联系起来的新恒等式，并基于quanto指数合约价格构建了货币预测变量，面板回归表明该变量对汇率升值和货币交易超额收益有显著预测能力，样本外优于无抛补利率平价、购买力平价和随机游走。
We present a new identity that relates expected exchange rate appreciation to a risk-neutral covariance term, and use it to motivate a currency forecasting variable based on the prices of quanto index contracts. We show via panel regressions that the quanto forecast variable is an economically and statistically significant predictor of currency appreciation and of excess returns on currency trades. Out of sample, the quanto variable outperforms predictions based on uncovered interest parity, on purchasing power parity, and on a random walk as a forecaster of differential (dollar-neutral) currency appreciation.