In this paper, we show that forward premiums are significant predictors of innovations in currency spot rates, and currency forward rates lead to price discovery during normal trading periods. Conversely, currency spot rates lead to price discovery during volatile periods. This finding is linked to investors' overreaction to information, which in turn induces jumps in the currency spot rate; positive jumps weaken the contribution of the forward rate to price discovery and their informational efficiency. We also find that the forward premium puzzle is linked to jump-driven pricing inefficiencies.

中文翻译：

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外汇即期汇率的跳跃和货币远期的信息效率

在本文中，我们表明远期溢价是货币即期汇率创新的重要预测因素，而货币远期汇率导致正常交易期间的价格发现。相反，货币即期汇率导致波动期间的价格发现。这一发现与投资者对信息的过度反应有关，这反过来又会导致货币即期汇率上涨；正跳变削弱了远期利率对价格发现及其信息效率的贡献。我们还发现，远期溢价难题与跳跃驱动的定价效率低下有关。