We use a present-value model of the real exchange rate to impose structure on the currency risk premium. We allow the currency risk premium to depend on both the interest rate differential and a latent component: the missing risk premium. Consistent with the data, our present-value model implies that the real exchange rate should predict currency returns. We find that the missing risk premium, not the interest rate differential, explains most of the variation in the real exchange rate. Moreover, our model sheds light on puzzling relations between the interest rate differential, the real exchange rate, and the currency risk premium.

中文翻译：

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汇率中缺失的风险溢价

我们使用实际汇率的现值模型来对货币风险溢价施加结构。我们允许货币风险溢价取决于利率差异和潜在成分：缺失的风险溢价。与数据一致，我们的现值模型意味着实际汇率应该预测货币回报。我们发现缺失的风险溢价，而不是利率差异，解释了实际汇率的大部分变化。此外，我们的模型揭示了利率差、实际汇率和货币风险溢价之间令人费解的关系。