Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal- Extraction Approach
运用工程学中的信号提取技术，识别并测量远期外汇定价中的溢价，发现溢价具有持续性且解释了远期汇率预测误差的大部分方差，对研究外汇市场定价的学者有参考价值。
In this paper, we implement a methodology to identify and measure premia in the pricing of forward foreign exchange. The methodology involves application of signal-extraction techniques from the engineering literature. Diagnostic tests indicate that these methods are quite successful in capturing the essence of the time-series properties of premium terms. The estimated premium models indicate that premia show a certain degree of persistence over time and that more than half the variance in the forecast error that results from the use of current forward rates as predictors of future spot rates is accounted for by variation in premium terms. The methodology can be applied straightforwardly to the measurement of unobservables in other financial markets.