Exchange rate puzzles and distorted beliefs

• 成果类型: Article
• 署名作者: Gourinchas, PO; Tornell, A
• 署名单位: University of California System; University of California Berkeley; National Bureau of Economic Research; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2003.11.002
• 发表日期: 2004
• 页码: 303-333
• 关键词: Exchange rates; beliefs; Forward premium puzzle; Delayed overshooting

摘要

We propose a new explanation for the foreign exchange forward-premium and delayed-overshooting puzzles. We show that both puzzles arise from a systematic distortion in investors' beliefs about the interest rate process. Accordingly, the forward premium is always a biased predictor of future depreciation; the bias can be so severe as to lead to negative coefficients in the 'Fama' regression. Delayed overshooting may or may not occur depending upon the persistence of interest rate innovations and the degree of misperception. We document empirically the extent of this distortion using survey data for G-7 countries against the U.S. and find that it is strong enough to account for these irregularities. (C) 2004 Elsevier B.V. All rights reserved.