Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options
检验外汇期权波动率期限结构中的预期假设，即长期波动率是否反映对未来短期波动率的理性预期。基于1989-1992年美元对英镑、马克、日元和瑞士法郎的日度数据，多数情况下无法拒绝该假设，且长短期波动率价差能预测短期波动率方向。
This paper tests the expectations hypothesis in the term structure of volatilities in foreign exchange options. In particular, it addresses whether long-dated volatility quotes are consistent with expected future short-dated volatility quotes, assuming rational expectations. For options observed daily from December 1, 1989 to August 31, 1992 on dollar exchange rates against the pound, mark, yen, and Swiss franc, we are unable to reject the expectations hypothesis in the great majority of cases. The current spread between long- and short-dated volatility rates proves to be a significant predictor of the direction of future short-dated rates.