{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,9]],"date-time":"2026-08-09T04:40:24Z","timestamp":1786250424924,"version":"build-2736575974"},"reference-count":44,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2025,1,23]],"date-time":"2025-01-23T00:00:00Z","timestamp":1737590400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["72303061"],"award-info":[{"award-number":["72303061"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2025,4]]},"abstract":"<jats:title>ABSTRACT<\/jats:title><jats:p>This paper studies the forward premium puzzle, which signals a violation of the uncovered interest parity (UIP) hypothesis. We test this hypothesis with Fama\u2010style regressions with time\u2010varying parameters (TVPs) and stochastic volatility (SV) on six major currencies relative to the US dollar on monthly samples from 1993 to 2018. TVP\u2010SV regressions are also employed to examine the opposing predictions of the forward premium and excess volatility puzzles often found in exchange rate risk premiums and interest rate differentials. Using Bayesian methods, we document that the riskiness of exchange rates explains the forward premium puzzle, while a liquidity premium reconciles the contrasting predictions of the forward premium and excess volatility puzzles.<\/jats:p>","DOI":"10.1002\/jae.3111","type":"journal-article","created":{"date-parts":[[2025,1,24]],"date-time":"2025-01-24T05:14:08Z","timestamp":1737695648000},"page":"310-324","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Exchange Rates, Uncovered Interest Parity, and Time\u2010Varying Fama Regressions"],"prefix":"10.1002","volume":"40","author":[{"given":"Bowen","family":"Fu","sequence":"first","affiliation":[{"name":"Center for Economics, Finance and Management Studies Hunan University  Changsha China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Mengheng","family":"Li","sequence":"additional","affiliation":[{"name":"Economics Discipline Group University of Technology Sydney  Sydney Australia"},{"name":"Centre for Applied Macroeconomic Analysis Australian National University  Canberra Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Qazi","family":"Haque","sequence":"additional","affiliation":[{"name":"School of Economics and Public Policy, Faculty of Arts, Business, Law and Economics The University of Adelaide  Adelaide Australia"},{"name":"Centre for Applied Macroeconomic Analysis Australian National University  Canberra Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2025,1,23]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2517-6161.1974.tb00989.x"},{"key":"e_1_2_9_3_1","unstructured":"Backus D. 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