Imperfect Exchange Rate Expectations
Imperfect Exchange Rate Expectations
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不完美的汇率预期
DOI：
10.2139/ssrn.3929756
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发表时间：
2023
期刊：
影响因子：
--
通讯作者：
Pierre De Leo
中科院分区：
文献类型：
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作者：
Giacomo Candian;Pierre De Leo
使用调查数据，我们证明了可预测的汇率预测误差是未覆盖利率平价(UIP)谜题及其在较长时期内逆转的原因。我们开发了一个基于震惊、误解和过度外推信念的一般均衡模型，该模型协调了这些问题和其他主要的汇率难题。这些信念扭曲既产生了预期的反应不足，也造成了对利率、汇率和其他宏观经济指标的预测误差的可预测性。在该模型中，预测误差对货币政策是内生的，并解释了全球金融危机后出现的UIP偏离行为的变化。
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.