外汇风险溢价：从传统分析到状态空间分析
Foreign exchange risk premia: from traditional to state-space analyses
AI总结：
本文比较了传统回归与状态空间方法在外汇风险溢价分析中的应用，发现传统回归能有效识别溢价的存在与时间演变特性，而状态空间方法能更准确地捕捉不可观测溢价的时间变异本质。
摘要：
本文研究了外汇风险溢价，从简单的单变量回归到状态空间方法。调整后的传统回归能够正确识别溢价的存在及其时间演变特性。随后，状态空间估计在分析不可观测溢价的时间变异本质方面表现得相当合理。更具体地说，滞后估计时间序列上的系数显著，状态空间系统中来自观测和转换方程的扰动，分别代表理性误差和溢价误差，统计上为白噪声。这两种残差被发现以相反方式移动，其协方差接近零，如实证所示。此外，外汇风险溢价被投影并发现显著在水平上平稳，但时间上相对波动较大，且存在一些聚类。然而，这种波动在远期预测误差的偏差中并不十分主导。
英文摘要：
This paper examines foreign exchange risk premia from simple univariate regressions to the state-space method. The adjusted traditional regressions properly figure out the existence and time-evolving property of the risk premia. Successively, the state-space estimations overall are quite rationally competent in examining the essence of time variability of the unobservable risk premia. To be more precise, the coefficients on the lagged estimated time-series are significant and the disturbance combined from the observation and transition equations in the state-space system, rational and premium errors, respectively, is statistically white noise. Such the two residuals are discovered to move oppositely with their covariance approaching zero suggested by the empirics. Besides, foreign exchange risk premia are projected and found significantly stationary at level and relatively volatile throughout time with some clustering. This volatility is however not quite dominant in the deviations of forward prediction errors.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
