Exchange Rates, Uncovered Interest Parity, and Time‐Varying Fama Regressions
研究了远期升水谜题（即未抛补利率平价失效），使用时变参数和随机波动模型分析六种主要货币对美元的数据，发现汇率风险可解释该谜题，流动性溢价则调和了远期升水与过度波动谜题间的矛盾。
ABSTRACT This paper studies the forward premium puzzle, which signals a violation of the uncovered interest parity (UIP) hypothesis. We test this hypothesis with Fama‐style regressions with time‐varying parameters (TVPs) and stochastic volatility (SV) on six major currencies relative to the US dollar on monthly samples from 1993 to 2018. TVP‐SV regressions are also employed to examine the opposing predictions of the forward premium and excess volatility puzzles often found in exchange rate risk premiums and interest rate differentials. Using Bayesian methods, we document that the riskiness of exchange rates explains the forward premium puzzle, while a liquidity premium reconciles the contrasting predictions of the forward premium and excess volatility puzzles.