作者：Engel, C; West, KD
作者单位：University of Wisconsin System; University of Wisconsin Madison; National Bureau of Economic Research
摘要：We show analytically that in a rational expectations present-value model, an asset price manifests near - random walk behavior if fundamentals are I( 1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well-known puzzle that fundamental variables such as relative money supplies, outputs, inflation, and interest rates provide little help in predicting changes in floating exchange rates. As well, we show that the data do exhibit a relate...
