We propose a simple identification scheme for the causes of the violations of uncovered interest parity. Our method uses the serial dependence patterns of excess returns as a criterion for judging performance of economic models. We show that a mean reverting component in excess returns, representing a violation of uncovered interest parity, mainly contributes to generating different serial dependence patterns of excess returns: rational expectations risk premium models tend to generate negative serial dependence of excess returns, while expectational errors models tend to generate positive serial dependence.

中文翻译：

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外汇收益的可预测性：理性预期风险溢价与预期误差

我们提出了一个简单的识别方案，用于发现未发现的利益平价的原因。我们的方法使用超额收益的序列依赖性模式作为判断经济模型绩效的标准。我们表明，超额收益中的均值回复成分表示违反未发现的利率平价，这主要有助于产生不同的超额收益序列依赖性模式：理性预期风险溢价模型倾向于产生超额收益的负序列依赖性，而预期误差模型倾向于产生积极的序列依赖性。