Revisiting the Forward Premium Anomaly Using Consumption Habits: A New Keynesian Model
检验消费习惯能否解释远期升水异常，发现禀赋经济中的正面结果依赖于过度消费的持续性，而在有名义刚性的生产经济中不成立，且模型无法匹配股权和期限溢价，这一缺陷也延伸到开放经济中的外汇溢价。
This paper revisits the ability of consumption habits to resolve the forward premium anomaly as documented in the literature. We show that the favourable results obtained in an endowment setting crucially depend on having persistent dynamics in excess consumption, and do not appear to hold up in a production economy with nominal rigidities. The inability of such models to match equity and term premium has often been emphasized in the closed economy literature. Our findings suggest that this shortcoming also extends to open economy models and their ability to explain foreign exchange premia.