On the role of fundamentals, private signals, and beauty contests to predict exchange rates
本文构建了一个异质性代理人模型，利用专业预测调查数据，通过贝叶斯方法估计发现高阶信念和公共信息对汇率预测至关重要，私人信号精度虽高但公共信息影响更大。
This paper proposes a model where heterogeneous agents formulate their predictions of exchange rates based on a Bayesian learning process and higher-order beliefs where fundamentals and private information are used. We exploit survey data on professional forecasts to estimate the model through a Bayesian approach. Our analysis shows that higher-order beliefs are crucial, as they improve the ability to make predictions of exchange rates due to the possible coordination among agents. Moreover, public information plays the most critical role in determining individual predictions. Although the precision of the private signal is higher than the public one, information publicly revealed does exert a disproportionate influence, and differences in the estimated signals determine the equilibrium strategy of each agent as a combination of personal beliefs and higher-order expectations.