Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle

• 成果类型: Article
• 署名作者: Bacchetta, Philippe; van Wincoop, Eric
• 署名单位: University of Lausanne; Swiss Finance Institute (SFI); University of Virginia
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.100.3.870
• 发表日期: 2010
• 页码: 870-904
• 关键词: uncovered interest parity; exchange-rates; cross-section; long-run; RISK; consumption; premium; returns; expectations; models

摘要

A major puzzle in international finance is that high interest rate currencies tend to appreciate (forward discount puzzle). Motivated by the fact that only a small fraction of foreign currency holdings is actively managed, we calibrate a two-country model in which agents make infrequent portfolio decisions. We show that the model can account for the forward discount puzzle. It can also account for several related empirical phenomena, including that of delayed overshooting. We also show that making infrequent portfolio decisions is optimal as the welfare gain from active currency management is smaller than the corresponding fees.