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• W2097560571 abstract "We propose a new explanation for the foreign exchange forward-premium and delayed-overshooting puzzles. We show that both puzzles arise from a systematic distortion in investors' beliefs about the interest rate process. Accordingly, the forward premium is always a biased predictor of future depreciation; the bias can be so severe as to lead to negative coefficients in the ‘Fama’ regression. Delayed overshooting may or may not occur depending upon the persistence of interest rate innovations and the degree of misperception. We document empirically the extent of this distortion using survey data for G-7 countries against the U.S. and find that it is strong enough to account for these irregularities." @default.
• W2097560571 created "2016-06-24" @default.
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• W2097560571 date "2004-12-01" @default.
• W2097560571 modified "2023-10-07" @default.
• W2097560571 title "Exchange rate puzzles and distorted beliefs" @default.
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• W2097560571 doi "https://doi.org/10.1016/j.jinteco.2003.11.002" @default.
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