Uncovered Interest Parity, Forward Guidance and the Exchange Rate
研究发现，实际汇率对预期利率差异变化的反应程度，并不像非抛补利率平价理论所预测的那样与预期实现的时间远近无关；基于美欧英数据的证据显示，近期预期的影响远大于远期预期。
Abstract Under uncovered interest parity (UIP), the size of the effect on the real exchange rate of an anticipated change in real interest rate differentials is invariant to the horizon at which the change is expected. Empirical evidence using U.S., euro area and UK data points to a substantial deviation from that invariance prediction: expectations of interest rate differentials in the near (distant) future are shown to have much larger (smaller) effects on the real exchange rate than is implied by UIP. Some possible explanations are discussed.