Journal of International Economics ( IF 3.712 ) Pub Date : 2021-03-13 , DOI: 10.1016/j.jinteco.2021.103460 Philippe Bacchetta , Eric van Wincoop
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.
中文翻译:
令人费解的汇率动态和延迟的投资组合调整
本文的目的是表明Froot和Thaler(1990)提出的延迟投资组合调整的建议可以解释有关利率与汇率之间关系的一系列困惑。这些难题包括:i)延迟的超调难题;ii)前期折扣难题(或Fama难题);iii)可预测性逆转难题;iv)恩格尔之谜(高利率货币比UIP暗示的要强);v)前期指导汇率之谜;vi)缺乏长期债券的远期贴现难题。这些结果是在具有投资组合调整成本的简单两个国家模型中进行分析得出的。从数量上讲,这种方法可以匹配与这些难题有关的所有目标时刻。