Inhaltszusammenfassung

We develop a model of the term structure of exchange rate expectations by integrating interest parity into a microstructure model of foreign exchange and national bond markets. The spot rate's reaction to typical shocks is able to reproduce standard results (e.g. overshooting) without reference to other frictions like rigid prices. Both countries' yield curves in uence the semi-elasticity of the spot ex- change rate. Opposing exchange rate expectations for short ...We develop a model of the term structure of exchange rate expectations by integrating interest parity into a microstructure model of foreign exchange and national bond markets. The spot rate's reaction to typical shocks is able to reproduce standard results (e.g. overshooting) without reference to other frictions like rigid prices. Both countries' yield curves in uence the semi-elasticity of the spot ex- change rate. Opposing exchange rate expectations for short and for long hori- zons reduce interest rate e ects. Finally, we show that not all rational methods of expectation formation are mutually consistent and induce model ambiguity as a genuine source of the UIP puzzle.» weiterlesen» einklappen

Autoren

Klassifikation

DFG Fachgebiet:
Wirtschaftswissenschaften

DDC Sachgruppe:
Zeitschriften, fortlaufende Sammelwerke