A reconsideration of the failure of uncovered interest parity for the U.S. dollar
重新检验美元与主要货币的未抛补利率平价，发现利率差预测汇率回报的能力随时间不稳定，在零利率下限附近消失；但年通胀率差在1980年代中期后能预测超额回报，与市场对货币政策变化反应不足的假说一致。
We reexamine the time-series evidence on uncovered interest rate parity for the U.S. dollar versus major currencies at short-, medium- and long-horizons. The evidence that interest rate differentials predict foreign exchange returns is not stable over time and disappears altogether when interest rates are near the zero-lower bound. However, we find that year-on-year inflation rate differentials predict excess returns – when the U.S. y.o.y. inflation rate is relatively high, subsequent returns on U.S. deposits tend to be high. We interpret this as consistent with the hypothesis that markets underreact initially to predictable changes in future monetary policy. The predictive power of y.o.y. inflation begins in the mid-1980s when central banks began to target inflation consistently and continues in the post-ZLB period when interest rates lose their primacy as a policy instrument. We attempt to address some econometric problems that might bias the conventional Fama (1984) test.