可预测性
利率平价
经济
汇率
利率
不完美的
休克(循环)
计量经济学
外汇
货币经济学
统计
医学
语言学
哲学
内科学
数学
作者
Giacomo Candian,Pierre De Leo
摘要
Abstract Using survey data, we document that predictable exchange rate forecast errors are responsible for the uncovered-interest-parity (UIP) puzzle and its reversal at longer horizons. We develop a general-equilibrium model based on shock misperception and over-extrapolative beliefs that reconciles these and other major exchange rate puzzles. These beliefs distortions generate both under- and over-reaction of expectations that account for the predictability of forecast errors about interest rates, exchange rates, and other macroeconomic indicators. In the model, forecast errors are endogenous to monetary policy and explain the change in the behavior of UIP deviations that emerged after the global financial crisis.
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