Exchange rate puzzles and distorted beliefs

By P. Gourinchas, A. Tornell. 2004

275 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ba6b73f3165a87d67935bb7d30a96ad6c09f0379

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

1. Lucio Sarno
2. Mark P. Taylor

In Finance

1. Lucio Sarno
2. Mark P. Taylor

Citations in the corpus

• Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts (2012, unknown): “Piazzesi and Schneider (2008), Gourinchas and Tornell (2004) and Bachetta et al. (2008) all identify links between systematic forecast errors in survey forecasts and puzzles in various financial markets.”
• Out-of-sample exchange rate predictability with Taylor rule fundamentals (2009, unknown): “the context of the Gourinchas and Tornell (2004) model, it seems reasonable to assume that, since the initial”
• What Does the Yield Curve Tell Us about Exchange Rate Predictability? (2013, unknown): “Our result is consistent with observations made in more recent papers, such as Eichenbaum and Evans (1995), Gourinchas and Tornell (2004), and Clarida and Waldman (2008).”
• New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates (2008, unknown): “[23] Gourinchas, P.”
• What can survey forecasts tell us about informational rigidities (2008, unknown): “Electronic copy available at: http://ssrn.com/abstract=1502930 1”
• Investor Overconfidence and the Forward Premium Puzzle (2011, unknown): “Gourinchas and Tornell (2004) offer an explanation of the forward premium puzzle based upon a distortion in investors’beliefs about the dynamics of the forward premium, but are agnostic as to the source of the distorted beliefs.5 Our paper differs from past behavioral explanations for the forward…”
• Predictability in Financial Markets: What do Survey Expectations Tell Us? (2009, unknown): “[25] Gourinchas, Pierre-Olivier and Aaron Tornell (2004), “Exchange Rate Puzzles and Distorted Beliefs,”Journal of International Economics 64, 303-333.”
• Carry Trades and Global Foreign Exchange Volatility (2012, unknown): “A selected list includes Bacchetta and van Wincoop (2006), Bansal and Shaliastovich (2008), Farhi and Gabaix (2009), Gourinchas and Tornell (2004), and Ilut (2010).”
• Exchange Rate Disconnect in General Equilibrium (2017, unknown): “…for the UIP shock wt, ranging from complete-market models of risk premia (e.g., Verdelhan 2010; Colacito and Croce 2013; Farhi and Gabaix 2016) to models of heterogeneous beliefs and expectational errors (e.g., Evans and Lyons 2002; Gourinchas and Tornell 2004; Bacchetta and van Wincoop 2006).”