期刊名称：DEEP Cahiers de Recherches Économiques / Université de Lausanne
出版年度：2009
卷号：1
出版社：Université de Lausanne
摘要：It is well known from anecdotal, survey and econometric evidence that the relationship
between the exchange rate and macro fundamentals is highly unstable. This
could be explained when structural parameters are known and very volatile, neither
of which seems plausible. Instead we argue that large and frequent variations
in the relationship between the exchange rate and macro fundamentals naturally
develop when structural parameters in the economy are unknown and change very
slowly. We show that the reduced form relationship between exchange rates and
fundamentals is driven not by the structural parameters themselves, but rather by
expectations of these parameters. These expectations can be highly unstable as a
result of perfectly rational \scapegoat" e
ects. This happens when parameters can
potentially change much more in the long run than the short run. This generates
substantial uncertainty about the level of parameters, even though monthly or annual
changes are small. This mechanism can also be relevant in other contexts of
forward looking variables and could explain the widespread evidence of parameter
instability found in macroeconomic and nancial data. Finally, we show that parameter
instability has remarkably little e
ect on the volatility of exchange rates,
the in-sample explanatory power of macro fundamentals and the ability to forecast
out of sample.
