Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment
Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment
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令人费解的汇率动态和延迟的投资组合调整
DOI：
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发表时间：
2019
影响因子：
3.3
通讯作者：
Eric van Wincoop
中科院分区：
文献类型：
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作者：
P. Bacchetta;Eric van Wincoop
本文的目的是证明Froot和Thaler（1990）提出的延迟投资组合调整可以解释关于利率与汇率关系的一系列广泛的困惑。谜题包括：i)延迟超冲谜题；ii)远期贴现谜题（或法玛谜题）；Iii)可预测性逆转之谜；iv)恩格尔之谜（高利率货币比UIP所暗示的要坚挺）；五)前瞻指引汇率之谜；6)长期债券不存在远期贴现难题。这些结果是在一个包含投资组合调整成本的简单两国模型中解析得出的。从数量上讲，这种方法可以匹配与这些谜题相关的所有目标时刻。
Abstract The objective of this paper is to show that the proposal by Froot and Thaler (1990) of delayed portfolio adjustment can account for a broad set of puzzles about the relationship between interest rates and exchange rates. The puzzles include: i) the delayed overshooting puzzle; ii) the forward discount puzzle (or Fama puzzle); iii) the predictability reversal puzzle; iv) the Engel puzzle (high interest rate currencies are stronger than implied by UIP); v) the forward guidance exchange rate puzzle; vi) the absence of a forward discount puzzle with long-term bonds. These results are derived analytically in a simple two-country model with portfolio adjustment costs. Quantitatively, this approach can match all targeted moments related to these puzzles.