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- W2890477029 abstract "We propose a new explanation for the forward-premium and the delayed-overshooting puzzles. Both puzzles arise from a systematic under-reaction of short-term interest rate forecasts to current innovations. 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 under-reaction; lastly, for G-7 countries against the US, these puzzles can be rationalized for values of the model's parameters that match empirical estimates." @default.
- W2890477029 created "2018-09-27" @default.
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- W2890477029 date "2003-01-01" @default.
- W2890477029 modified "2023-09-27" @default.
- W2890477029 title "Exchange Rate Dynamics, Learning and Misperception" @default.
- W2890477029 hasPublicationYear "2003" @default.
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