Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations

被引：7
作者：
Lansing, Kevin J. [1 ]
Ma, Jun [2 ]
机构：
[1] Fed Reserve Bank San Francisco, Res Dept, POB 7702, San Francisco, CA 94120 USA
[2] Univ Alabama, Dept Econ Finance & Legal Studies, Box 870224,200 Alston Hall, Tuscaloosa, AL 35487 USA
来源：
JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2017年 / 70卷
关键词：
Exchange rates; Uncovered interest rate parity; Forward premium anomaly; Random-walk expectations; Excess volatility; FOREIGN-CURRENCY RISK; INTEREST-RATE PARITY; CROSS-SECTION; EXPLANATION; STANDARD; PUZZLES; PREMIA; MARKET; HABIT; FIT;
D O I：
10.1016/j.jimonfin.2016.08.004
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We introduce boundedly-rational expectations into a standard asset-pricing model of the exchange rate, where cross-country interest rate differentials are governed by Taylor-type rules. Agents augment a lagged-information random walk forecast with a term that captures news about Taylor-rule fundamentals. The coefficient on fundamental news is pinned down using the moments of observable data such that the resulting forecast errors are close to white noise. The model generates volatility and persistence that is remarkably similar to that observed in monthly exchange rate data for Canada, Japan, and the U.K. Regressions performed on model-generated data can deliver the well-documented forward premium anomaly. (C) 2016 Elsevier Ltd. All rights reserved.
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页码：62 / 87
页数：26
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