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

详细信息    查看全文

• 作者：Kevin J. Lansing^a ; Jun Ma^b ; ^{jma@cba.ua.edu}
• 关键词：D83 ; D84 ; E44 ; F31 ; G17
• 刊名：Journal of International Money and Finance
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：70
• 期：Complete
• 页码：62-87
• 全文大小：2080 K
• 卷排序：70

文摘

We introduce boundedly-rational expectations into an asset-pricing model of the exchange rate. Agents augment a lagged-information random walk forecast with news about fundamentals. Model generates exchange rate behavior that is remarkably similar to that observed in the data.