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Foreign Exchange Return Predictability: Rational Expectations Risk Premium vs. Expectational Errors

문성만
대외경제정책연구원 (Korea Institute for International Economic Policy (KIEP))|2018.12|East Asian Economic Review|제22권 제4호|pp. 467-505|DOI http://dx.doi.org/10.11644/KIEP.EAER.2018.22.4.351

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참고문헌

키워드

Violations of Uncovered Interest ParityExpectational ErrorsRational Expectations Risk PremiumForeign Exchange Excess ReturnsSerial Dependence
주제분류경제학

초록

We propose a simple identification scheme for the causes of the violations of uncovered interest parity. Our method uses the serial dependence patterns of excess returns as a criterion for judging performance of economic models. We show that a mean reverting component in excess returns, representing a violation of uncovered interest parity, mainly contributes to generating different serial dependence patterns of excess returns: rational expectations risk premium models tend to generate negative serial dependence of excess returns, while expectational errors models tend to generate positive serial dependence.

Abstract

We propose a simple identification scheme for the causes of the violations of uncovered interest parity. Our method uses the serial dependence patterns of excess returns as a criterion for judging performance of economic models. We show that a mean reverting component in excess returns, representing a violation of uncovered interest parity, mainly contributes to generating different serial dependence patterns of excess returns: rational expectations risk premium models tend to generate negative serial dependence of excess returns, while expectational errors models tend to generate positive serial dependence.

참고문헌 (29)

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관련 논문AI추천

Foreign Exchange Risk Premia and Goods Market Frictions문성만대외경제정책연구원 · East Asian Economic Review2015 · 제19권 제1호Reexamination of Forward Premium Anomaly in Foreign Exchange Markets Allowing for Realized Volatility and Jump Process한영욱보험연구원 · 보험금융연구2010 · 제21권 제2호High Frequency Interest Rate Differentials and Long Memory Property in Forward Premium Anomaly한영욱, Richard T. Baillie한국금융공학회 · 金融工學硏究2013 · 제12권 제1호Forward Premium Puzzle and Long Memory Property at the Very Short Time Horizon: Fractional Integrated Approach한영욱경영경제연구소 · 아태비즈니스연구2025 · 제16권 제2호Country Fundamentals and Currency Excess Returns김대환, 송치영대외경제정책연구원 · East Asian Economic Review2014 · 제18권 제2호Testing for Nonlinear Threshold Cointegration in the Monetary Model of Exchange Rates with a Century of Data이준수, Mark C. Strazicich한국개발연구원 · KDI Journal of Economic Policy2009 · 제31권 제2호

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