Delayed Overshooting: The Case for Information Rigidities
研究发现延迟超调之谜源于汇率预期对货币政策冲击的缓慢调整，而非无抛补利率平价的失效；提出一个包含信息刚性的新凯恩斯模型，能解释即期汇率、远期汇率和超额货币收益对货币政策冲击的联合反应。
We provide evidence that the delayed overshooting puzzle reflects a slow adjustment of exchange rate expectations to monetary policy shocks rather than a failure of uncovered interest parity. Consistent with this evidence, we put forward a New Keynesian model in which uncovered interest parity holds, but there are information rigidities: investors do not observe monetary policy shocks but learn rationally from unanticipated shifts in monetary policy about the state of the economy. We estimate the model and find it can account for the joint responses of the spot exchange rate, forward exchange rates, and excess currency returns to monetary policy shocks.