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A Model with Anchored and Rational Traders

1 Jun 1993 RDP 9307
David W.R. Gruen and Marianne C. Gizycki
For the moment α is specified exogenously, but in Section 5 it will be determined endogenously. ... Money is held by individuals in each economy because it provides transaction services.
https://www.rba.gov.au/publications/rdp/1993/9307/model-with-anchor.html

References

1 Jun 1993 RDP 9307
David W.R. Gruen and Marianne C. Gizycki
American Economic Review. , 79, 319–37. Cumby, R. E. (1988), ‘Is it Risk? ... Froot, K. A. and J. A. Frankel (1989), ‘Forward Discount Bias: Is it an Exchange Risk Premium?’,.
https://www.rba.gov.au/publications/rdp/1993/9307/references.html

Tables and Figures

1 Jun 1993 RDP 9307
David W.R. Gruen and Marianne C. Gizycki
RDP 9307: Explaining Forward Discount Bias: Is it Anchoring? Tables and Figures.
https://www.rba.gov.au/publications/rdp/1993/9307/tables-figure.html

Introduction

1 Jun 1993 RDP 9307
David W.R. Gruen and Marianne C. Gizycki
Firstly, it predicts forward discount bias in the direction consistently observed in foreign exchange markets. ... Clarida and Taylor (1993) provide a dissenting view, though it is based on only a short run of out-of-sample testing.
https://www.rba.gov.au/publications/rdp/1993/9307/introduction.html

Anchoring as an Explanation | RDP9307 Explaining Forward Discount Bias: Is it Anchoring?

1 Jun 1993 RDP 9307
David W.R. Gruen and Marianne C. Gizycki
RDP 9307: Explaining Forward Discount Bias: Is it Anchoring? 3. Anchoring as an Explanation. ... It strains credulity to argue that such expectations could survive in such circumstances.
https://www.rba.gov.au/publications/rdp/1993/9307/anchor-explanation.html

Empirical Results

1 Jun 1993 RDP 9307
David W.R. Gruen and Marianne C. Gizycki
it always generates strong forward discount bias in the direction consistently observed empirically. ... While Lyons' evidence represents a potential challenge to this observation, other empirical evidence (footnote 4) is strongly supportive of it.
https://www.rba.gov.au/publications/rdp/1993/9307/empirical-results.html

Irrational Agents, Anchoring and Foreign Exchange Puzzles

1 Jun 1993 RDP 9307
David W.R. Gruen and Marianne C. Gizycki
RDP 9307: Explaining Forward Discount Bias: Is it Anchoring? 2. Irrational Agents, Anchoring and Foreign Exchange Puzzles. ... to be equal across countries and b = 2.88 (0.65) when it is unconstrained.
https://www.rba.gov.au/publications/rdp/1993/9307/irrational-agent-anchoring-fx-puzzles.html