The currency depreciation rate is often computed as the ratio of foreign to domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. This happens because of the FX bond disconnect, the inability of bonds to span exchange rates. Incorporating innovations to the pricing kernel that affect exchange rates but not bonds helps resolve the puzzles. This approach also allows one to relate news about cross-country differences between international yields to news about currency risk premiums.

中文翻译：

---

国际收益率曲线和货币难题

货币贬值率通常计算为外国与国内定价内核的比率。单独使用债券价格来估计这些核函数会导致货币难题：模型无法匹配违反未覆盖利率平价和汇率波动的情况。发生这种情况是因为外汇债券脱节，即债券无法跨越汇率。将创新纳入影响汇率但不影响债券的定价核心有助于解决难题。这种方法还允许人们将有关国际收益率之间的跨国差异的新闻与有关货币风险溢价的新闻联系起来。