| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4923 |
| 来源ID | Working Paper 4923 |
| Tests of Three Parity Conditions: Distinguishing Risk Premia and Systematic Forecast Errors | |
| Richard C. Marston | |
| 发表日期 | 1994-11-01 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | Two explanations are given for why nominal or real returns differ across currencies: foreign exchange risk premia and systematic (rational) forecast errors. This study reexamines three parity conditions in international finance, uncovered interest parity, purchasing power parity, and real interest parity, to determine the relative importance of these two factors. The study develops joint tests of the three parity conditions by relating nominal and real interest differentials and inflation differentials to the same set of variables currently known to investors. The study tests parameter restrictions based on knowing that risk premiums only affect nominal and real interest differentials, but not inflation differentials, while systematic errors in forecasting exchange rates only affect nominal interest differentials and inflation differentials, but not real interest differentials. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w4923 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562341 |
| 推荐引用方式 GB/T 7714 | Richard C. Marston. Tests of Three Parity Conditions: Distinguishing Risk Premia and Systematic Forecast Errors. 1994. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4923.pdf（296KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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