摘要
本文梳理了外汇市场微观结构理论的核心观点和最新实证研究成果,目的并非进行该领域的全面文献综述,而是阐述笔者的一些个人理解。在微观结构理论的研究框架下,汇率动态是分散信息转化为市场共识信息的过程,信息汇聚速度的缓慢可以在某种程度上解释传统汇率理论所面临的困境,但微观结构模型的汇率预测能力仍有待实证检验方法的进一步完善。微观结构理论并非对宏观汇率理论的否定,二者之间存在互补而非替代的关系,融合宏观与微观元素的混合模型,将成为汇率经济学研究的重要发展方向。
This paper provides an overview of main theoretical ideas and recent empirical results on foreign exchange market microstructure theory.It is not aimed to survey the literature,but rather to present writer＇s viewpoint on the issue.Micro-based models show how dispersed information relevant to the exchange rate becomes embedded in spot exchange rate via the trading process.The slow pace of information aggregation may shed light on the longstanding puzzles in exchange rate economics.However,the forecasting power of micro-based model is still not justi-fied.Microstructure theory is not substitute,but complementary for traditional macro exchange rate theories.Hybrid model integrating micro and macro approaches seems more plausible and may provide new insights into the exchange rate economics.
出处
《上海金融》
CSSCI
北大核心
2010年第10期71-76,共6页
Shanghai Finance
基金
2010年中南财经政法大学基本科研业务费青年教师资助项目
关键词
汇率动态
信息汇聚
汇率预测
混合模型
Exchange Rate Dynamics
Information Aggregation
Exchange Rate Forecasting
Hybrid Model
