Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?
构建动态理性预期模型，引入未来宏观经济基本面的对称信息分散，以解释短期至中期汇率波动主要由订单流而非宏观变量驱动的经验事实。
Empirical evidence shows that most exchange rate volatility at short to medium horizons is related to order flow and not to macroeconomic variables. We introduce symmetric information dispersion about future macroeconomic fundamentals in a dynamic rational expectations model in order to explain these stylized facts. Consistent with the evidence, the model implies that (a) observed fundamentals account for little of exchange rate volatility in the short to medium run, (b) over long horizons, the exchange rate is closely related to observed fundamentals, (c) exchange rate changes are a weak predictor of future fundamentals, and (d) the exchange rate is closely related to order flow.