The PPP View of Multihorizon Currency Risk Premiums
研究发现预期未来名义贬值率对当前利差的暴露随期限呈非单调变化，而远期预期名义贬值率是单调的。通过将弱式购买力平价纳入随机贴现因子、名义汇率及国内外收益率曲线的联合模型，解释了这两种模式，并揭示了购买力平价偏离与风险溢价的关系。
Abstract Exposures of expected future nominal depreciation rates to the current interest rate differential violate the UIP hypothesis in a pattern that is a nonmonotonic function of horizon. Forward expected nominal depreciation rates are monotonic. We explain the two patterns by simultaneously incorporating the weak form of PPP into a joint model of the stochastic discount factor, the nominal exchange rate, and domestic and foreign yield curves. Departures from PPP generate the first pattern. The risk premiums for these departures generate the second pattern. Thus, the variance of the stochastic discount factor is related to the real exchange rate.