MODEL UNCERTAINTY AND EXCHANGE RATE VOLATILITY*
提出模型学习机制解释汇率波动变化，发现1993年英镑/美元汇率波动转变源于模型切换，对理解汇率动态和风险管理有参考价值。
This article proposes an explanation for shifts in the volatility of exchange‐rate returns. Agents are uncertain about the true data generating model and deal with this uncertainty by making inference on the models and their parameters' approach, I call model learning. Model learning may lead agents to focus excessively on a subset of fundamental variables. Consequently, exchange‐rate volatility is determined by the dynamics of these fundamentals and changes as agents alter models. I investigate the empirical relevance of model learning and find that the change in volatility of GBP/USD in 1993 was triggered by a shift between models.