An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
研究商品市场分割如何影响远期汇率与未来即期汇率的关系，发现理论模型中的斜率系数小于1但非负，而数据中为负，需货币冲击与相对产出冲击的协方差显著为负。
We examine the effect of segmented commodity markets on the relation between forward and future spot exchange rates in a dynamic economy. We calculate the slope coefficient in our theoretical economy from regressing exchange rate changes on forward premia. With reasonable parameter values, the slope coefficient is less than unity. However, even for extreme parameters the slope is not less than zero, as found in the data. A negative slope coefficient in a nominal version of the model requires the covariance between monetary shocks and relative output shocks to be significantly negative, in contrast to the covariance in the data.