The Real Exchange Rate, Real Interest Rates, and the Risk Premium
The Real Exchange Rate, Real Interest Rates, and the Risk Premium
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DOI：
10.2139/ssrn.1934728
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发表时间：
2011-06
期刊：
影响因子：
--
通讯作者：
C. Engel
中科院分区：
文献类型：
--
作者：
C. Engel
众所周知的未覆盖利率平价之谜源于经验规律，即在发达国家对中，高利率国家往往对其短期资产具有高预期回报。与此同时，另一部分文献证明，高真实的利率国家的货币往往以真实的价值衡量是坚挺的--实际上，比未覆盖利率平价下预期真实的利差路径所能解释的还要坚挺。这两条线-一条涉及短期预期变化，另一条涉及真实的汇率水平-对外汇风险溢价和利率差的关系具有明显矛盾的影响。本文记录的困惑，并表明，现有的模型似乎无法解释这两个实证研究结果。一个模型，可能调和的结果的功能进行了讨论。
The well-known uncovered interest parity puzzle arises from the empirical regularity that, among developed country pairs, the high interest rate country tends to have high expected returns on its short term assets. At the same time, another strand of the literature has documented that high real interest rate countries tend to have currencies that are strong in real terms - indeed, stronger than can be accounted for by the path of expected real interest differentials under uncovered interest parity. These two strands - one concerning short-run expected changes and the other concerning the level of the real exchange rate - have apparently contradictory implications for the relationship of the foreign exchange risk premium and interest-rate differentials. This paper documents the puzzle, and shows that existing models appear unable to account for both empirical findings. The features of a model that might reconcile the findings are discussed.