在觀察匯率市場是否具有效率性時，大部分文獻透過檢定「遠期匯率是否為未來即期匯率的不偏估計值」來驗證，然而實證結果多不支持。探究原因後，部分學者於是提出，可能是在效率市場的假設上出了問題。原效率市場假設理性預期與風險中立，可是在現實生活中，人們的行為大多顯現風險趨避的特質，學者因而推論「風險溢酬的存在」或許正是造成遠期匯率偏誤的原因。

　Lucas（1982）在跨期資本資產訂價理論推導中證明出，風險溢酬具有因時而異的性質。Domowitz and Hakkio（1985）對該理論做進一步設定後，得到風險溢酬為兩國間貨幣政策波動差異的函數，因而改良風險溢酬模型為受到匯率預測精確性影響，並以ARCH模型估計。

　本文承續Domowitz and Hakkio（1985）的理論設定，以市場風險解釋風險溢酬，同時引進馬可夫變換模型，用以捕捉因時而異的風險溢酬，並且將其與ARCH-M模型所估計出的風險溢酬加以比較，期望能找出一個對風險溢酬解釋力較佳的模型。

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