The New Fama Puzzle
The New Fama Puzzle
复制标题
新法玛谜题
作者：
M. Bussière;M. Chinn;L. Ferrara;Jonas Heipertz
我们重新审视了历史上常见的发现，即事后折旧和远期溢价是负相关的，通常被称为远期溢价之谜。当覆盖利差为零时，这一发现相当于拒绝了未覆盖利率平价（UIP）和完全信息理性预期的联合假设。我们把这一结果称为法马之谜（1984），因为很难确定一个随时间变化的风险溢价来合理化这一结果。在我们的分析中，对美元的8种汇率都发生了拒绝，但在金融危机期间和之后的10年中并没有持续存在。引人注目的是，与先前的发现相反，法马系数--利息差系数--变得很大而且为正，这就是我们所说的新法马之谜。使用基于调查的汇率预期的措施，我们发现更一致的证据有利于UIP。因此，对全球金融危机后法马系数变化的解释，主要是预期误差和利差共同移动的方式发生了变化。
We re-examine the historically common finding that ex post depreciation and the forward premium are negatively correlated, usually termed the forward premium puzzle. When covered interest differentials are zero, this finding is equivalent to the rejection of the joint hypothesis of uncovered interest parity (UIP) and full information rational expectations. We term this result the Fama puzzle (1984), given the difficulty in identifying a time-varying risk premium that could rationalize this result. In our analysis, the rejection occurs for eight exchange rates against the US dollar, but does not survive into the period during and in the decade after the financial crisis. Strikingly, in contrast to earlier findings, the Fama coefficient—the coefficient on the interest differential—then becomes large and positive; this is what we term the New Fama Puzzle. Using survey based measures of exchange rate expectations, we find much more consistant evidence in favor of UIP. Hence, the explanation for the switch in the Fama coefficient in the wake of the global financial crisis is mostly a change in how expectations errors and interest differentials co-move.
影响因子：
3.3
作者：
Engel, Charles
Kazakova
通讯作者：
Engel, Charles
Kazakova