| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26259 |
| 来源ID | Working Paper 26259 |
| Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment | |
| Philippe Bacchetta; Eric van Wincoop | |
| 发表日期 | 2019-09-16 |
| 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 Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w26259 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583932 |
| 推荐引用方式 GB/T 7714 | Philippe Bacchetta,Eric van Wincoop. Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26259.pdf（659KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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