Predictability and pricing efficiency in forward and spot, developed and emerging currency markets
研究了1994至2016年新兴和发达经济体货币的远期与即期汇率可预测性，发现新兴市场远期合约回报早期存在过度可预测性，但即期超额回报无此现象，反映了2008年金融危机后抛补利率平价的广泛偏离。
We study the predictability of forward and spot exchange rates of currencies of emerging and developed economies from 1994 to 2016. Our purpose is to shed light on the efficiency of currency markets and how and why it has evolved over this time. For the currencies of emerging economies, our analysis of rates of return on forward contracts finds some evidence of excess-predictability, especially in the earlier parts of the sample period, consistent with the view that this portion of the foreign exchange market has only become efficient in recent times. When we turn our attention to excess-returns computed from spot exchange rates and spot interest rates, however, we find much less predictability. In particular, over our full sample period, we find no evidence of excess-predictability, in contrast with the results reported by Hsu et al. (2016) but in agreement with Kuang et al. (2014). The different predictability of spot excess-returns and rates of return on forward contracts is a manifestation of the widespread violation of covered interest parity which emerged with the onset of the 2008 financial crisis.