Exchange Rate Risk and Deviations From Purchasing Power Parity
研究了投资者对汇率的高阶风险态度（偏度和峰度）如何产生风险溢价，导致购买力平价偏离，对美元与加拿大、日本、欧盟货币的汇率分析表明预期汇率偏度是主要影响因素。
ABSTRACT This paper proposes a new solution to the purchasing power parity (PPP) puzzles, arguing that investors' higher‐order risk attitudes, combined with higher‐order uncertainty about nominal exchange rates, as reflected by skewness and kurtosis, drive a risk premium that leads to deviations from PPP. Analysing US dollar exchange rates against the currencies of three major net exporting countries to the US – Canada, Japan, and the European Union – we find that the skewness of the expected nominal exchange rate is the most significant and statistically robust moment‐based factor influencing these deviations. Our estimates further suggest that only low to moderate exchange rate risks generate risk premia that contribute to these PPP deviations.