Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?

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Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (2006, unknown): “…against the US dollar, the spot exchange rate has usually been recorded to fall when the forward market would have predicted it to rise and vice versa (e.g., Cumby and Obstfeld, 1984; Hodrick, 1987; Bekaert and Hodrick, 1993; Lewis, 1995; Engel, 1996; Sarno and Taylor, 2003; Sarno, 2005).”
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? (2009, background): “Several pieces of evidence suggest that expectations are to blame for such behavior: 1) Survey measures of exchange rate expectations are very poor forecasters and the expectations, themselves, are frequently not internally consistent (Frankel and Froot, 1987; Sarno, 2005).”
Arbitrage in the foreign exchange market: Turning on the microscope (2008, unknown): “A landmark study in the literature on testing no-arbitrage conditions in the FX market is Taylor (1987), which questioned the published evidence of deviations from CIP as it was not based on contemporaneously sampled real-time quotes of comparable domestic and foreign interest rates and spot and for”
Predictability in Financial Markets: What do Survey Expectations Tell Us? (2009, unknown): “[41] Sarno, Lucio (2005), Towards a Solution to the Puzzles in Exchange Rate Economics: Where do we Stand?,Canadian Journal of Economics 38(3), 673-708.”