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首页> 外文期刊>Journal of International Money and Finance >Testing the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations
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Testing the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations

机译：使用交易波动率，随时间变化的风险溢价和异构预期来测试未发现的利率平价

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摘要

This paper carries out an empirical investigation of an extended version of Flood and Marion's (2000, Self-fulfilling risk predictions: an application to speculative attacks. Journal of International Economics 50, 245-268) UIP model, which incorporates a nonlinear time-varying risk premium that depends on both the expected variance of the future exchange rate and the relative worldwide private holdings of domestic and foreign government bonds. A novel contribution of our paper is the use of traded currency volatility, which is directly observable in the market place, to measure expectations about the future volatility of the exchange rate. Another contribution is the explicit modelling of heterogeneous exchange rate expectations formed by forward-looking fundamentalists and backward-looking chartists. Our overall empirical evidence provides strong support for the extended nonlinear UIP model. We also investigate for the first time the role of traded volatility in the dynamic behaviour of exchange rates, and find that high currency volatility is likely to produce oscillatory and unstable exchange rate paths.
机译：本文对Flood和Marion（2000，自我实现的风险预测：对投机攻击的应用）的扩展版本进行了实证研究。国际经济学期刊50，245-268）结合了非线性时变的UIP模型。风险溢价既取决于未来汇率的预期差异，也取决于国内外相对私有的国内外政府债券的持有量。本文的一个新颖贡献是使用交易货币的波动性，它可以在市场上直接观察到，以衡量对汇率未来波动性的预期。另一个贡献是由前瞻性原教旨主义者和后瞻性宪章主义者形成的异构汇率预期的显式模型。我们的整体经验证据为扩展的非线性UIP模型提供了有力的支持。我们还首次研究了贸易波动率在汇率动态行为中的作用，发现高货币波动率可能会产生振荡和不稳定的汇率路径。

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