论文标题
针对市场效率的新测试和发现的兴趣平价
A New Test for Market Efficiency and Uncovered Interest Parity
论文作者
论文摘要
我们建议基于动态回归方法的新的单程测试（UIP）进行新的单程测试。该方法提供了一致且渐近的参数估计，并且不依赖于严格的外生性假设。这种新方法在静态正向高级回归中使用具有HAC鲁棒标准误差的OLS的常见方法渐近地更有效。何时在远期溢价上回归现场回报变化时的系数估计均为正货币稳定。这些估计值比以前的研究经常发现负系数的估计值大得多。该方法还具有显示风险溢价的动态影响，或其他可能导致UIP拒绝或有效市场假设的事件的动态影响。
We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is not dependent on assumptions of strict exogeneity. This new approach is asymptotically more efficient than the common approach of using OLS with HAC robust standard errors in the static forward premium regression. The coefficient estimates when spot return changes are regressed on the forward premium are all positive and remarkably stable across currencies. These estimates are considerably larger than those of previous studies, which frequently find negative coefficients. The method also has the advantage of showing dynamic effects of risk premia, or other events that may lead to rejection of UIP or the efficient markets hypothesis.
