Short-term speculators and the puzzling behaviour of exchange rates

• 成果类型: Article
• 署名作者: Osler, CL
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(97)00024-X
• 发表日期: 1998
• 页码: 37-57
• 关键词: foreign exchange market; Exchange rates; speculation; asset pricing

摘要

This paper shows that rational short-term speculative activity transforms exchange rates' response to shocks. Transitory shocks will have a permanent impact on exchange rates when such speculators are active, and the impact of shocks will be smoothed. The model may help explain the observed extended response of exchange rates to sterilized intervention. Further, the model suggests that exchange rate fundamentals may be properly identified even when those variables fail to forecast better than a random walk. Finally, the model could help explain why exchange rates closely resemble a random walk while most fundamentals do not follow such a process. (C) 1998 Elsevier Science B.V.