Exchange Rates, Uncovered Interest Parity, and Time-Varying Fama Regressions

被引：0

作者：

Fu, Bowen ^{[1
]}

Li, Mengheng ^{[2
,4
]}

Haque, Qazi ^{[3
,4
]}

机构：

[1] Hunan Univ, Ctr Econ Finance & Management Studies, Changsha, Peoples R China

[2] Univ Technol Sydney, Econ Discipline Grp, Sydney, Australia

[3] Univ Adelaide, Fac Arts Business Law & Econ, Sch Econ & Publ Policy, Adelaide, Australia

[4] Australian Natl Univ, Ctr Appl Macroecon Anal, Canberra, Australia

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2025年 / 40卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Bayesian time-varying regression; exchange rate volatility puzzle; forward premium puzzle; stochastic volatility; uncovered interest rate parity; MONETARY-POLICY; MODEL; INFERENCE; SHOCKS; SPOT;

D O I：

10.1002/jae.3111

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：310 / 324

页数：15

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