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汇率决定的微观结构理论研究新进展 被引量：2

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摘要 传统的汇率决定理论缺乏实证检验的支持,而汇率决定的微观结构理论在解释汇率波动等方面更有说服力。本世纪以来,汇率决定的微观结构理论在假设前提、指定流对汇率波动影响的实证检验及其理论解释、央行干预对汇率波动的影响、宏观汇率决定理论和微观结构理论相结合等方面取得了许多新的进展,本文对近几年的最新进展做一综述。
作者 李小平
机构地区 中南财经政法大学经济学院 中国社会科学院财贸所
出处 《经济学动态》 CSSCI 北大核心 2008年第7期90-95,共6页 Economic Perspectives
基金 国家社会科学基金(项目号08CJL026) 霍英东教育基金会第11届高校青年教师基金(项目号111088)
关键词 汇率决定 微观结构理论 指定流
分类号 F830.7 [经济管理—金融学]
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参考文献29

  • 1Andersen, T., et al. (2003), “ Micro effects of macro announcements: Real - time price discovery in foreign exchange”, American Economic Review 93:38- 62.
  • 2Bacchetta, P. & E. van Wincoop ( 2006), "Can information heterogeneity explain the exchange rate determination puzzle?", American Economic Review 96:552 - 576.
  • 3Becker, C. & M. Sinclair ( 2004 ), “Profitability of Reserve Bank foreign exchange operations: Twenty years after the float”, Reserve Bank of Australia Research Discussion Paper No :2004 -06.
  • 4Beine, M. A. R. , C. S. Bos & S. Laurent (2005), "The impact of Central Bank FX Interventions on currency components", Tinbergen Institute Discussion Paper No. 2005 -103(4).
  • 5Berger, D.W. , et al. ( 2005 ), "Dealer behavior and trading systems in foreign exchange markets", Journal of Financial Economies 75:571 - 605.
  • 6Breedon, F. & P. Vitale( 2004 ) , "An empirical study of liquidity and information effects of order flow on exchange rates", CEPR Discussion Paper 4586, London.
  • 7Carpenter, A. & J. Wang(2003), "Sources of private information in FX trading", Mimeo, University of New South Wales.
  • 8Canales - Kriljenko, J. I. (2003), “Foreign exchange intervention in developing and transition economies: Results of a survey”, IMF Working Paper, 03/95, May.
  • 9Danielsson, J. & R. Love(2004), "Feedback trading", mimeo, London School of Economics.
  • 10Domac, I. & A. Meladoza(2004), "Is there room for foreign exchange interventions under an inflation targeting framework? Evidence from Mexico and Turkey", World Bank Policy Research Working Paper, 3288.

同被引文献30

  • 1黄雨青.尽快建立远期现货电子交易市场完善燃料油市场体系[J].中山大学学报论丛,2005,25(3):358-360. 被引量：1
  • 2林枫,禾穗.中长期现货电子交易规避塑料价波动风险[J].中外玩具制造,2006(8):72-73. 被引量：1
  • 3Bacchetta, P., van Wincoop, E. A scapegoat model of exchange-rate fluctuations [J].American Economic Review, 2004( 94): 114 - 118.
  • 4Bacchetta, P., van Wincoop, E. Can information heterogeneity explain the exchange rate determination puzzle? [J]. American Economic Review, 2006(96), 552 - 576.
  • 5Carpenter,A.,and Wang,J.(2003), Sources of Pri vate Information in FX Trading [R]. University of New South Wales.
  • 6Cheung, Yin-Wong, Chinn, M.D. & Marsh, W. Ian (2000). How do UK-based foreign exchange dealers think their market operates [R]. NBER Working Paper No.7524.
  • 7Chakravarty, S. Stealth-trading: which traders" trades move stock prices? [J].Journal of Finance Economics, 2001(61): 289 - 307.
  • 8Dagfinn Rime, Lucio Samo and Elvira Sojli. Exchange rate forecasting, order flow and macroeconomic information [J].Journal of International Economics, 2010 (80): 72 - 88.
  • 9De Grauwe,P., and Dewachter, H. Chaos in the Dornbusch Model: The Role of Fundamentalists and Chartists [J]. Open Economies Review,1993(4): 351 - 79.
  • 10Easley, D., O'Hara, M. Adverse selection and large trade volume: the implications for market efficiency[J]. Journal of Financial and Quantitative Analysis, 1992(27): 185 - 208.

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经济学动态
2008年 第7期

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