Accounting for Exchange-Rate Variability in Present-Value Models When the Discount Factor Is Near 1
探讨为何名义汇率近似随机游走，而传统宏观经济基本面并非随机游走，提出未观测到的基本面可能主导汇率波动，对理解汇率预测模型失效有参考价值。
A well-known stylized fact about nominal exchange rates among low-inflation advanced countries, particularly U.S. exchange rates, is that their logs are approximately random walks. Michael I. Mussa (1979) is most frequently cited for observing this regularity. In a famous pair of papers, Richard A. Meese and Kenneth Rogoff (1983a, b) found that the structural models of the 1970’s could not “beat ” a random walk in explaining exchange-rate movements. Recently some authors (Menzie Chinn and Meese, 1995; Nelson Mark, 1995; Mark and Donggyu Sul, 2001) have argued that the models can outforecast the random walk at long horizons. But a comprehensive recent study by Yin-Wong Cheung et al. (2003) documents that “no model consistently outperforms a random walk.” Why? One obvious explanation is that the macroeconomic variables that determine the exchange rate themselves follow random walks. If the log of the nominal exchange rate is a linear function of forcing variables that are random walks, then it will inherit the random-walk property. The problem with this explanation is that the economic “fundamentals ” proposed in the most popular models of exchange rates do not, in fact, follow simple random walks. One resolution to this problem is that there may be some other fundamentals, ones that have been proposed in some models but are not easily measurable or ones that have not yet been proposed at all, that are important in determining exchange rates. If these “unobserved ” fundamentals follow random walks and dominate