Imperfect Exchange Rate Expectations
利用调查数据发现，可预测的汇率预测误差是导致未抛补利率平价之谜及其在长期反转的原因，并构建了一个基于冲击误判和过度外推信念的模型来解释这些谜题。
Abstract Using survey data, we document that predictable exchange rate forecast errors are responsible for the uncovered interest parity (UIP) puzzle and its reversal at longer horizons. We develop a general-equilibrium model based on shock misperception and overextrapolative beliefs that reconciles these and other major exchange rate puzzles. These beliefs distortions generate both under- and over-reaction of expectations that account for the predictability of forecast errors about interest rates, exchange rates, and other macroeconomic indicators. In the model, forecast errors are endogenous to monetary policy and explain the change in the behavior of UIP deviations that emerged after the global financial crisis.