Differential Risk Premiums and the UIP Puzzle

Rita Biswas, Louis R. Piccotti, Ben Z. Schreiber
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引用次数: 2

Abstract

We jointly re-specify the relative purchasing power parity (RPPP) and uncovered interest rate parity (UIP) conditions as the (log) ratio of stochastic discount factors by inverting the market price of risk formula. Our empirical model provides new insights, which show that violations to UIP and RPPP both stem from the existence of a risk premium in exchange rates and from observed market return differentials being a noisy statistic of the markets' expected return differentials in our re-specified model. Using an integrated macro-microstructure framework for expected market return differentials improves our model fit and the validity of UIP and RPPP.
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差异风险溢价和upp难题
我们将相对购买力平价(RPPP)和未覆盖利率平价(UIP)条件重新指定为随机贴现因子的(log)比率,并将市场价格的风险公式进行反转。我们的经验模型提供了新的见解,它表明对UIP和RPPP的违反都源于汇率风险溢价的存在,以及在我们重新指定的模型中,观察到的市场回报差异是市场预期回报差异的噪声统计。使用综合宏观微观结构框架对预期市场收益差异进行分析,提高了模型的拟合性,提高了UIP和RPPP的有效性。
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