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汇率、无抛补利率平价与时变 Fama 回归AI 解读

ABSTRACT This paper studies the forward premium puzzle, which signals a violation of the uncovered interest parity (UIP) hypothesis. We test this hypothesis with Fama‐style regressions with time‐varying parameters (TVPs) and stochastic volatility (SV) on six major currencies relative to the US dollar on monthly samples from 1993 to 2018. TVP‐SV regressions are also employed to examine the opposing predictions of the forward premium and excess volatility puzzles often found…

泡沫与危机：对Anundsen等人研究结果的复现AI 解读

Summary This paper both narrowly and widely replicates the results of Anundsen et al. ( Journal of Applied Econometrics , 2016, 31 (7), 1291–1311). I am able to reproduce the same results as theirs. Furthermore, I find that allowing for time‐varying parameters of early warning system models can considerably improve the in‐sample model fit and out‐of‐sample forecasting performance based on an expanding window forecasting exercise.