A Fundamental Connection: Exchange Rates and Macroeconomic Expectations
反驳了汇率与宏观经济脱节的观点，发现宏观经济新闻能解释大部分汇率变动，在季度频率上解释力高达91%（衰退期）和65%（全时期），并讨论了与无抛补利率平价理论不一致的模型。
Abstract We disprove the exchange rate macroeconomic disconnect puzzle by showing that macroeconomic news can explain most variation in exchange rates at monthly and quarterly frequencies, accounting for up to 91 percent of the quarterly exchange rate variation during US recessions and 65 percent over all periods. The main driver of the reconnect is exchange rates responding to past news—a result inconsistent with the theory of uncovered interest rate parity under full information rational expectations (UIP-FIRE). We discuss theoretical models that can explain this surprising result, including models featuring currency risk premia, regulatory or institutional frictions, or deviation from FIRE.