Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle
针对高利率货币倾向于升值这一远期贴水之谜，本文构建了一个两国模型，其中代理人仅做出不频繁的投资组合决策，并证明该模型能解释该谜题及相关现象，同时指出不频繁决策是最优的。
A major puzzle in international finance is that high interest rate currencies tend to appreciate (forward discount puzzle). Motivated by the fact that only a small fraction of foreign currency holdings is actively managed, we calibrate a two-country model in which agents make infrequent portfolio decisions. We show that the model can account for the forward discount puzzle. It can also account for several related empirical phenomena, including that of “delayed overshooting.” We also show that making infrequent portfolio decisions is optimal as the welfare gain from active currency management is smaller than the corresponding fees.