| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13839 |
| DP13839 Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment | |
| Philippe Bacchetta; Eric van Wincoop | |
| 发表日期 | 2019-07-03 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | The objective of this paper is to show that the proposal by Froot and Thaler (1990) of delayed portfolio adjustment can account for a broad set of puzzles about the relationship between interest rates and exchange rates. The puzzles include: i) the delayed overshooting puzzle; ii) the forward discount puzzle (or Fama puzzle); iii) the predictability reversal puzzle; iv) the Engel puzzle (high interest rate currencies are stronger than implied by UIP); v) the forward guidance exchange rate puzzle; vi) the absence of a forward discount puzzle with long-term bonds. These results are derived analytically in a simple two-country model with portfolio adjustment costs. Quantitatively, this approach can match all targeted moments related to these puzzles. |
| 主题 | International Macroeconomics and Finance |
| URL | https://cepr.org/publications/dp13839 |
| 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/542715 |
| 推荐引用方式 GB/T 7714 | Philippe Bacchetta,Eric van Wincoop. DP13839 Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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