FOREIGN EXCHANGE RATE EXPECTATIONS: SURVEY AND SYNTHESIS
综述了外汇汇率预期的实证文献，涵盖远期溢价谜题、预期形成、异质性、市场微观结构、时变风险溢价和预测表现，指出非理性预期和时变风险溢价共同解释远期贴水异常，长期预期会回归均衡，市场参与者异质性可解释部分国际金融实证规律。
Abstract This paper reviews the empirical literature on foreign exchange rate expectations. Prominent issues are the forward premium puzzle, expectations formation in financial markets, heterogeneity of expectations, market microstructure, time‐varying risk premiums and forecast performance. Although much has been learned in each field, this survey highlights the areas of research in which our understanding of the mechanism of exchange rate expectations is still incomplete. Our survey suggests that both irrational expectations and time‐varying risk premiums account for the forward discount anomaly, that long‐term expectations reverse towards their long‐run equilibrium values and that heterogeneous behaviour of market participants has the potential of explaining some of the empirical regularities in the international finance literature.