As highlighted by recent literature, long-term foreign exchange risk premia (FRP) of a currency pair tend to covary negatively with short-term real interest rate differentials (RIRD) of the pair. We fit an affine term structure model for 9 major currencies against the US dollar and estimate two components of this covariance: the real risk premia (RRP) component and the inflation risk premia differential (IRPD) component. We find that the IRPD component is significantly negative for all currency pairs in our sample. We propose a macro-finance model to understand the types of shocks that generate such covariance.

中文翻译：

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长期外汇风险溢价和通胀风险

正如最近的文献所强调的那样，货币对的长期外汇风险溢价 (FRP) 往往与货币对的短期实际利率差 (RIRD) 呈负共变。我们为 9 种主要货币兑美元拟合仿射期限结构模型，并估计该协方差的两个组成部分：实际风险溢价 (RRP) 组成部分和通胀风险溢价差异 (IRPD) 组成部分。我们发现样本中所有货币对的 IRPD 分量都显着为负。我们提出了一个宏观金融模型来理解产生这种协方差的冲击类型。