Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle

By Philippe Bacchetta, Eric van Wincoop. 2010

341 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0a3058480deb43e156688b3fb2838338b6b4185a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Properties of Foreign Exchange Risk Premiums (2012, background): “Related Literature in More Detail Earlier papers that study the link between interest rates and exchange rates with term structure factor models include Nielsen and Saá-Requejo (1993), Saá-Requejo (1994), Bakshi and Chen (1997), and Bansal (1997).”
On the unstable relationship between exchange rates and macroeconomic fundamentals (2013, neutral): “Bacchetta et al. (2009) show that time-varying parameters only have a substantial e ect on the MSE ratio in the extreme case where the persistence of the 31 parameters in the reduced form relationship between exchange rates and fundamentals is close to 1, or more precisely in the range of 0.95 to 1.”
Forward and Spot Exchange Rates in a Multi-Currency World* (2018, neutral): “See Tyron (1979), Hansen and Hodrick (1980), Bilson (1981), Meese and Rogoff (1983), Backus et al. (1993), Evans and Lewis (1995), Bekaert (1996), Bansal (1997), Bansal and Dahlquist (2000), Chinn (2006), Graveline (2006), Burnside et al. (2006), Lustig and Verdelhan (2007), Brunnermeier et al.”
Investor Attention and FX Market Volatility (2015, neutral): “Only a small fraction of international ﬁnancial holdings are actively managed (Sager and Taylor, 2006; Bacchetta and Van Wincoop, 2010).”
Currency Momentum Strategies (2012, positive): “In addition, Bacchetta and van Wincoop (2010) argue that many FX portfolios are still not actively managed but that portfolio decisions are often taken infrequently, which can be fully rational due to the costs of portfolio adjustments. This mechanism could also account for slow diffusion of informa”
Investor Attention and Stock Market Volatility (2015, methodology): “Specifically, in our model the dynamics of f̂ in system (4) reveal that two diffusion components drive the overall noise in the fundamental, and these two components are inversely interconnected.”
Carry Trades and Currency Crashes (2008, background): “More recently, Bacchetta and van Wincoop (2007) attribute the failure ofUIP to infrequent revisions of investor portfolio decisions. Lustig and Verdelhan (2007) focus on the cross-sectional variation between high and low interest rate currency return and make the case that the return on currencies w”