The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors
构建了一个框架，从远期升水期限结构中提取即期汇率变动的信息，允许理性偏差和风险溢价存在。使用美元-英镑、美元-马克和美元-日元周度数据，发现即期与远期汇率可由向量误差修正模型（VECM）良好刻画，且该模型在一年期动态样本外预测中显著优于随机游走等替代模型。
We develop a framework to extract information regarding subsequent spot rate movements from the term structure of forward exchange premiums while admitting possible deviations from rationality and the presence of risk premiums. Using weekly dollar-sterling, dollar- mark, and dollar-yen data, the restrictions implied by our framework are not rejected, and spot and forward exchange rates together are well represented by a vector error correction model (VECM). Dynamic out-of-sample forecasts up to one year ahead indicate that the VECM is strikingly superior to a range of alternative forecasts, including a random walk and standard spot-forward regressions. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology