International Capital Markets and Foreign Exchange Risk
推导了外汇风险溢价、汇率波动与货币定价核波动之间的关系，发现汇率波动与定价核波动显著相关，外汇风险溢价与两者均显著相关，但即使考虑定价核波动，远期溢价谜题在部分情况下仍存在。
Relations between foreign exchange risk premia, exchange rate volatility, and the volatilities of the pricing kernels for the underlying currencies, are derived under the assumption of integrated capital markets. As predicted, the volatility of exchange rates is significantly associated with the estimated volatility of the relevant pricing kernels, and foreign exchange risk premia are significantly related to both the estimated volatility of the pricing kernels and the volatility of exchange rates. The estimated foreign exchange risk premia mostly satisfy Fama's (1984) necessary conditions for explaining the forward premium puzzle, but the puzzle remains in several cases even after taking account of the pricing kernel volatilities. Copyright 2006, Oxford University Press.