Explaining Forward Exchange Bias...Intraday
发现，由于日内利率为零，外汇交易商可在危机中通过日内交易规避央行利率防御，但均衡下被攻击货币通常日内升值，并用EMS数据验证了这一预测。
Intraday interest rates are zero.Consequently, a foreign exchange dealer can short a vulnerable currency in the morning, close this position in the afternoon, and never face an interest cost.This tactic might seem especially attractive in times of crisis, since it suggests an immunity to the central bank's interest rate defense.In equilibrium, however, buyers of the vulnerable currency must be compensated on average with an intraday capital gain as long as no devaluation occurs.That is, currencies under attack should typically appreciate intraday.Using data on intraday exchange rate changes within the EMS, we find this prediction is borne out.