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

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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).”
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).”
Predictability in Financial Markets: What do Survey Expectations Tell Us? (2009, unknown): “For surveys of the forward bias literature, see Lewis (1995), Engel (1996) or Sarno (2005).”