Exchange rates and binary political events
提出一个理性预期模型，利用私人信息（通过订单流汇总）和公共信息（二元事件的概率）来解释汇率动态和预测误差的可预测性，并以巴西总统弹劾投票、英国脱欧公投和特朗普当选为例进行检验。
Abstract This article introduces a rational expectations model that explains exchange rate dynamics and the predictability of forecast errors using private (aggregated via order flow) and public (probabilities of a binary event) information. We test the model for the periods leading up to the presidential impeachment vote in Brazil, the Brexit Referendum, and Donald Trump’s election in 2016. Proxies of the physical probabilities of these events reveal that they are a crucial source of pricing information for the BRL, GBP, and MXN currency pairs with the US dollar. They also explain forecast errors. The information content of order flow changes before and after an actual regime change resolves uncertainty.