A Liquidity‐Based Resolution of the Uncovered Interest Parity Puzzle
提出一种新货币理论，认为名义债券的流动性溢价可解释未覆盖利率平价（UIP）谜题，当债券流动性或抵押品可质押性较高时UIP不成立，有助于理解风险解释难以调和的实证现象。
Abstract A new monetary theory is set out to resolve the “uncovered interest parity (UIP)” puzzle. It explores the possibility that liquidity properties of money and nominal bonds can account for the puzzle. A key concept in our model is that nominal bonds carry liquidity premia . We show that the UIP can fail to hold under the economic environment where collateral pledgeability and/or liquidity of nominal bonds and/or collateralized credit‐based transactions are relatively bigger. Our liquidity‐based theory can help understanding many empirical observations that risk‐based explanations find difficult to reconcile with.