期刊
JOURNAL OF INTERNATIONAL ECONOMICS
卷 64, 期 2, 页码 303-333出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jinteco.2003.11.002
关键词
exchange rates; beliefs; forward premium puzzle; delayed overshooting
类别
We propose a new explanation for the foreign exchange forward-premium and delayed-overshooting puzzles. We show that both puzzles arise from a systematic distortion in investors' beliefs about the interest rate process. Accordingly, the forward premium is always a biased predictor of future depreciation; the bias can be so severe as to lead to negative coefficients in the 'Fama' regression. Delayed overshooting may or may not occur depending upon the persistence of interest rate innovations and the degree of misperception. We document empirically the extent of this distortion using survey data for G-7 countries against the U.S. and find that it is strong enough to account for these irregularities. (C) 2004 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据