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Learning, consumer, habits and the anomaly of the forward premium of the exchange rate

8th National Competition for the Award of Research Grants in Economics

Macroeconomics

Senior Researcher : Jesús Ruiz Andújar

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Research Centre or Institution : Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa). Universidad Complutense de Madrid

Abstract

The objective is to explain the deficient predictive ability of the forward rate in exchange-rate markets (forward premium anomalies) based on a dynamic and stochastic general equilibrium model. It is shown that knowledge by the agents of the monetary policy objective, together with the existence of a behaviour of habit in consumption, may be factors explaining the existence of this anomaly. The results of the research project corresponding to the 2011-2012 academic year are: i) the production of 9 articles, of which 4 have been published in international journals with JCR impact indices and the other 5 are at the evaluation phase; ii) presentation of those articles at a total of 8 congresses, 6 of them international, and all of them of relevance in this sphere of research.

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