Interest Rate Pegs and the Reversal Puzzle: On the Role of Anticipation
研究了利率锚定政策下通胀的反常下降（反转谜题）与市场主体预期程度的关系，发现完全预期时反转取决于锚定时长，不完全预期时即使锚定频率很高也不出现反转。
Abstract We revisit the reversal puzzle: a counterintuitive contraction of inflation in response to an interest rate peg. We show that its occurrence is intimately related to the degree of agents' anticipation. If agents perfectly anticipate the peg, reversals occur depending on the duration of the peg. If they do not anticipate the peg, reversals are absent. In the case of imperfect anticipation, implemented by a Markov‐switching framework, we measure the degree of anticipation by the frequency of the peg regime. Even if the frequency of the peg takes on a value much larger than empirically plausible, the reversal puzzle is absent.