Accounting for Forward Rates in Markets for Foreign Currency
Accounting for Forward Rates in Markets for Foreign Currency
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外币市场远期汇率的会计处理
DOI：
10.1111/j.1540-6261.1993.tb05132.x
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发表时间：
1993
影响因子：
8
通讯作者：
Chris I. Telmer
中科院分区：
文献类型：
--
作者：
D. Backus;Allan W. Gregory;Chris I. Telmer
主要货币之间的远期和即期汇率意味着货币投机的可预测回报和均衡价格指标（跨期边际替代率）的标准偏差很大。具有时间加性偏好的代表性代理理论无法解释这些属性中的任何一个。作者表明，当代表代理人的偏好表现出习惯持久性时，该理论在这些维度上表现得相当好，但该理论无法重现数据的其他一些属性，特别是远期保费的强自相关性。美国金融协会版权所有 1993。
Forward and spot exchange rates between major currencies imply large standard deviations of both predictable returns from currency speculation and of the equilibrium price measure (the intertemporal marginal rate of substitution). Representative agent theory with time-additive preferences cannot account for either of these properties. The authors show that the theory does considerably better along these dimensions when the representative agent's preferences exhibit habit persistence but that the theory fails to reproduce some of the other properties of the data--in particular, the strong autocorrelation of forward premiums. Copyright 1993 by American Finance Association.