TAILIEUCHUNG - International Macroeconomics and Finance: Theory and Empirical Methods Phần 6

Vi phạm rõ ràng của Tính hợp lý Chúng tôi đã nhìn thấy rằng có những khía cạnh quan trọng của các dữ liệu mô hình Lucas với CRRA tiện ích không thể cách tiếp cận khác đã được thực hiện để giải thích sự chênh lệch từ tính chẵn lẻ quan tâm phát hiện? | . APPARENT VIOLATIONS OF RATIONALITY 183 Apparent Violations of Rationality We ve seen that there are important dimensions of the data that the Lucas model with CRRA utility cannot 8 What other approaches have been taken to explain deviations from uncovered interest parity This section covers the peso problem approach and the noise trader paradigm. Both approaches predict that market participants make systematic forecast errors. In the peso problem approach agents have rational expectations but don t know the true economic environment with certainty. In the noise trading approach some agents are irrational. Before tackling these issues we want to have some evidence that market participants actually do make systematic forecast errors. So we first look at a line of research that studies the properties of exchange rate forecasts compiled by surveys of actual foreign exchange market participants. The subjective expectations of market participants are key to any theory in international finance. The rational expectations assumption conveniently allows the economic analyst to model these subjective expectations without having to collect data on people s expectations per se. If the rational expectations assumption is wrong its violation may be the reason that underlies asset-pricing anomalies such as the deviation from uncovered interest parity. 7Backus Gregory and Telmer 4 investigate the lower volatility bound implied by data on the . dollar prices of the Canadian-dollar the deutsche-mark the French-franc the pound and the yen. They compute the bound for an investor who chases positive expected profits by defining forward exchange payoffs on currency i as Iit Fi t - Si t 1 Si t where lit 1 if Et fi t - Si t 1 0 and Iit 0 otherwise. The bound computed in the text does not make this adjustment because it is not a prediction of the Lucas model where investors may be willing to take a position that earns expected negative profit if it provides .

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