Differential risk premiums and the UIP puzzle
通过反转夏普比率公式重新设定未抛补利率平价条件，发现汇率风险溢价和市场预期收益差噪声是UIP偏离的原因，整合宏观微观框架改善了模型拟合。
Abstract We respecify the uncovered interest rate parity (UIP) conditions by inverting the market price of the risk (Sharpe ratio) formula. Our empirical model provides new insight indicating that violations to the UIP stem from the existence of a risk premium in the exchange rates and from observed market return differentials being a noisy statistic of the markets’ expected return differentials in our respecified model. Using an integrated macro‐micro structure framework for expected market return differentials improves our model fit and the validity of UIP.