【摘要】 从利差交易者行为的视角解释了远期溢价之谜。利用马尔科夫机制转换模型对汇率未来变动和远期溢价之间的关系进行建模,其中时变转换概率是关于市场波动率指数(VIX)的函数。研究结果表明:当市场波动较小,投资者情绪平稳,利差交易者进入市场,远期溢价之谜存在;当市场波动剧烈,恐慌情绪加强,利差交易者出于避险情绪平仓,最终促使市场回复UIP均衡,远期溢价之谜消失。更多还原

【Abstract】 This paper demonstrates that carry trade is the explanation of the forward premium puzzle. The formal analysis uses a two-regime Markov switching technique, with time varying transition probabilities related to VIX. The results confirm that the forward premium anomaly exists in one regime where carry trades are rampant with the stable market volatility and investor sentiment, and uncovered interest parity is found to hold in the other regime where carry trades appear to be not profitable, as the market fluctuates acutely and the panic has grown.更多还原