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.

中文翻译：

---

差异风险溢价和 UIP 难题

我们通过反转风险公式的市场价格，将相对购买力平价（RPPP）和未偿利率平价（UIP）条件联合重新指定为随机贴现因子的（对数）比率。我们的经验模型提供了新的见解，这表明违反 UIP 和 RPPP 都源于汇率风险溢价的存在，以及观察到的市场回报差异是我们重新指定模型中市场预期回报差异的嘈杂统计. 对预期市场回报差异使用综合宏观微观结构框架改进了我们的模型拟合以及 UIP 和 RPPP 的有效性。