A sentiment-based explanation of the forward premium puzzle
成果类型：
Article
署名作者：
Yu, Jianfeng
署名单位：
University of Minnesota System; University of Minnesota Twin Cities
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2013.04.001
发表日期：
2013
页码：
474-491
关键词：
摘要：
A sentiment-based model of the exchange rate is proposed to understand the forward premium puzzle. Agents over- or under-estimate the growth rate of the economy. All else equal, when perceived domestic growth is higher than perceived foreign growth, the domestic interest rate is higher than the foreign interest rate. At the same time, an econometrician would expect an increase in the home currency value. Together, the model with investor misperception can account for the forward premium puzzle. In addition, misperception helps lower the correlation between consumption growth differentials and exchange rate growth. Finally, this paper provides empirical evidence supporting the mechanism in the sentiment-based explanation. (C) 2013 Elsevier B.V. All rights reserved.
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