| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6147 |
| DP6147 Financial Globalization and Monetary Policy | |
| Alan Sutherland; Michael B Devereux | |
| 发表日期 | 2007-02-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Two well-known, but seemingly contradictory, features of exchange rates are that they are close to a random walk while at the same time exchange rate changes are predictable by interest rate differentials. In this paper we investigate whether these two features of the data may in fact be related. In particular, we ask whether the predictability of exchange rates by interest differentials naturally results when participants in the FX market adopt random walk expectations. We find that random walk expectations can explain the forward premium puzzle, but only if FX portfolio positions are revised infrequently. In contrast, with frequent portfolio adjustment and random walk expectations, we find that high interest rate currencies depreciate much more than what UIP would predict. |
| 主题 | International Macroeconomics |
| 关键词 | Excess return Incomplete information Predictability |
| URL | https://cepr.org/publications/dp6147 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534986 |
| 推荐引用方式 GB/T 7714 | Alan Sutherland,Michael B Devereux. DP6147 Financial Globalization and Monetary Policy. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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