Macroeconomic and aggregate financial series were shown empirically to share an unconventional form of cyclical and persistent dynamics, whose functional form was obtained from the solution of general-equilibrium models with heterogeneous firms. The econometric modeling of equations that link such series requires a new methodology, as existing parametric techniques can cause paradoxical regression results and omit predictabilities. We provide a solution to disentangle the genuine relation between variables (the parameters linking them) from the unconventional dynamics that drive them. As an application, we show that GBP-USD forward premia have no predictive power for excess returns over 1976–2015 (thus solving this forward-premium puzzle) once the unconventional dynamics of spot rates are modeled. Taking advantage of these dynamics, we uncover a trading strategy which consistently outperforms existing ones in the out-of-sample period 2015–2021, delivering almost treble their profits and yielding a Sharpe ratio of 85%. Hence, even in this heavily traded market, the efficient market hypothesis has been failing for over 45 years as persistent profit opportunities remained unexploited because of the unconventional dynamics of the spot rate.

中文翻译：

---

超越协整：推断联动的新工具

宏观经济和总体金融序列在经验上显示出具有非常规形式的周期性和持续性动态，其函数形式是从具有异质性公司的一般均衡模型的解中获得的。连接此类序列的方程式的计量经济学建模需要一种新的方法，因为现有的参数技术可能会导致自相矛盾的回归结果并忽略可预测性。我们提供了一种解决方案，可以将变量（链接它们的参数）与驱动它们的非常规动力之间的真正关系分离开来。作为一个应用，我们表明，一旦对即期利率的非常规动态进行建模，英镑兑美元的远期溢价就无法预测 1976-2015 年的超额回报（从而解决了这个远期溢价难题）。利用这些动力，我们发现了一种交易策略，在 2015 年至 2021 年的样本外期间，该策略的表现始终优于现有策略，其利润几乎翻了三倍，夏普比率为 85%。因此，即使在这个交易量很大的市场中，有效市场假说已经失败了 45 年多，因为由于即期汇率的非常规动态，持久的获利机会仍未得到利用。