Imperfect Exchange Rate Expectations

• 成果类型: Article
• 署名作者: Candian, Giacomo; De Leo, Pierre
• 署名单位: Universite de Montreal; HEC Montreal; University System of Maryland; University of Maryland College Park
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01343
• 发表日期: 2025-09
• 页码: 1406-1423
• 关键词: risk; premium; explanation; liquidity; monetary; puzzles; shocks; TRADE; MODEL

摘要

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 overextrapolative 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.