Breaking the UIP: A Model-Equivalence Result
证明，在近似条件下，引入简化形式的投资组合调整成本与两种主流建模策略（金融中介吸收储蓄失衡、监管敞口限制与参与成本）在打破无抛补利率平价上是等价的。
Abstract Breaking the uncovered interest rate parity (UIP) is essential to accounting for exchange rate dynamics, and is required for modeling sterilized foreign exchange interventions. Gabaix and Maggiori (2015) account for many exchange rate puzzles by introducing financial intermediaries that absorb savings imbalances for a premium, thereby deviating from the UIP. Fanelli and Straub (2021) analyze foreign exchange interventions. In their model, regulatory exposure limits and participation cost in the international financial markets drive a wedge in the UIP. This paper demonstrates that, to a first‐order approximation, introducing a reduced‐form portfolio adjustment cost is isomorphic to these modeling strategies.