Exchange Rates and Fundamentals
用理性预期现值模型证明，当基本面变量为一阶单整且贴现因子接近1时，资产价格近似随机游走，这解释了为何汇率难以用基本面预测，但汇率却能预测基本面。
We show analytically that in a rational expectations present‐value model, an asset price manifests near–random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well‐known puzzle that fundamental variables such as relative money supplies, outputs, inflation, and interest rates provide little help in predicting changes in floating exchange rates. As well, we show that the data do exhibit a related link suggested by standard models—that the exchange rate helps predict these fundamentals. The implication is that exchange rates and fundamentals are linked in a way that is broadly consistent with asset‐pricing models of the exchange rate.