外汇市场干预信号渠道与投机头寸相关性研究
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财经研究 2008 年 第 34 卷第 03 期, 页码：29 - 38
摘要
参考文献
摘要
文章主要通过研究外汇市场干预操作与货币政策改变之间是否存在相关性,来考察中央银行在外汇市场上进行冲销干预的效果。在央行拥有内部信息,投机者拥有基本面私有信息的条件下,文章使用GARCH时间序列模型,以期货市场上能够反映市场参与者对公开及私有信息理解的投机净头寸(变化)数据作为预期的代理变量展开分析。文章的结论不支持信号渠道,外汇市场上的可预期干预结果更可能与央行期望的干预方向相反,并且过去的投机者净头寸持有量可以促使干预发生。
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[2]Klitgaard,Thomas,Laura Weir.Exchange rate changes and net positions of speculatorsin the futures market[J].Economic Policy Review,Federal Reserve Bank of New York,2004,10(1):17-27.
[3]Lyons,Richard K.Tests of microstructural hypothesis in the foreign exchange rate mar-ket[J].Journal of Financial Economics,1995,39(2-3):321-351.
[4]Mussa Michael L.The role of official intervention[R].Group of Thirty Occasional Pa-per,1981,6.
[5]Rasmus Fatum,Michael Hutchison.Is intervention a signal of future monetary policy?Evidence from the federal funds market[J].Journal of Money,Credit and Banking,1999,31(1):54-69.
[6]元惠萍,陈浪南,黄洵.外汇干预传导的预期途径分析[J].预测,2002,(6):36-40.
引用本文
谢赤, 张媛媛, 丁晖. 外汇市场干预信号渠道与投机头寸相关性研究[J]. 财经研究, 2008, 34(3): 29–38.
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