This paper presents a heterogeneous agents model of the foreign exchange market in which agents’ risk attitudes vary over time due to psychological factors emphasized in prospect theory. We find that psychological component and risk-profit elasticity play significant roles in exchange rate expectations formation and investment behavior. Although all agents show more risk-averse after the crisis, the extent to which their risk attitude responds to the crisis varies due to heterogeneous forecasting rules as well as the changes of trading environment and central bank intervention. Moreover, time-varying risk attitudes can help explain the forward premium puzzle. These findings have implications for the exchange rate expectation formation theories and foreign exchange market stability policies.

本文提出了一种外汇市场的异质代理模型，其中代理人的风险态度由于预期理论中强调的心理因素而随时间而变化。我们发现心理成分和风险-利润弹性在汇率预期形成和投资行为中起着重要作用。尽管危机过后所有代理人都表现出更多的规避风险的态度，但他们的风险态度对危机的反应程度因不同的预测规则以及交易环境和央行干预的变化而有所不同。此外，时变的风险态度可以帮助解释远期保费难题。这些发现对汇率预期形成理论和外汇市场稳定政策具有启示意义。