:::

詳目顯示

回上一頁
題名:外匯市場價格發現、波動與中央銀行干預之分析
作者:高崇瑋 引用關係
作者(外文):Chung-Wei Kao
校院名稱:淡江大學
系所名稱:財務金融學系博士班
指導教授:陳思寬
陳玉瓏
學位類別:博士
出版日期:2008
主題關鍵詞:匯率門檻共整不對稱調整價格發現多變量GARCH跳躍央行干預Exchange rateThreshold cointegrationAsymmetric adjustmentPrice discoveryMultivariate GARCHJumpCentral bank intervention
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:25
本論文研究外匯市場中三項重要的議題:價格發現、匯率的波動、與中央銀行干預效果之研究。本論文以門檻共整模型分析新台幣外匯市場中,誤差修正過程的不對稱調整特性;並以具有跳躍(jump)型式的GARCH模型分析歐元匯率在不同流通階段波動性的變化,以及日本央行藉由外匯市場干預行動對日圓匯價與波動性造成的影響效果。本論文重要發現如下:
1、新台幣匯率的調整具有非線性特性。台北外匯市場與元太外匯市場的價格具有長期共整關係,然此關係具有門檻效果:唯有當兩市場價差超過上、下門檻值時,兩市場價格才具有互動關係。並且當元太市場價格大於台北市場價格,且價差已超越門檻值後,元太市場價格的弱外生性顯示元太市場具有價格發現功能,台北市場將追隨元太市場的價格動態而進行誤差調整。
2、 歐元匯率的波動性在本文研究期間大於比較樣本—英鎊的波動性,顯示歐元資產的投資風險仍大於英鎊資產。然分期間研究結果顯示,兩者波動性的差距已有縮小跡象。代表當歐元流通區域擴大及與其他經濟體關係日益密切等因素下,已有助於實體歐元流通之後的穩定性。
3、中央銀行干預的型態會影響干預效果。小量干預不具成效,大量干預可影響匯率走勢並降低市場波動。在大量干預時期,日銀成功透過干預行動降低市場跳動次數,故連帶降低市場因日圓升值帶來的擾動現象。此結果符合Taylor (2004)、Reitz & Taylor (2006)提出之coordination channel:央行干預行動可提振基本面交易者的交易信心,使匯率重回基本面,而市場重歸平靜。
Three topics in exchange rate economics are discussed in this thesis: the price discovery in foreign exchange markets, volatility and the effects of central bank interventions. A threshold cointegration model proposed by Tsay (1998) is used to analysis the asymmetric adjustment process responding to the disequilibrium between two market places in Taiwan’s foreign exchange trading. A GARCH mixed with jump model proposed by Chan and Maheu (2002) is applied to detect the volatility changes of a new currency – the euro, and to evaluate the effectiveness of foreign exchange market intervention conducting by the Japanese authorities. Major conclusions are as follows.
1.Results from the multivariate threshold model indicate prices in the two markets in Taiwan’s foreign exchange trading are integrated nonlinearly. The roles of price discovery are asymmetric, depending on the size and sign of the price discrepancies between the two markets. In the lower regime of discrepancies, each market employs information from its counterpart and reacts to each other with different adjustment speeds. When the discrepancy is in the upper regime, Cosmos Foreign Exchange’s role of price discovery is characterized by its exogenous behavior within the error-correction process.
2.By using a GARCH mixed with jump model (the GARJI model), the volatilities of euro are found to be larger than that of the pound, which is robust to either of the two data-splitting schemes. However, the stability of the euro has made progress in recent years when the physical euro launched in circulating. The evidence is provided by the decreases in the jump innovations. This finding supports the arguments on the determinants of exchange rate stability claimed by Mundell (1998) and Mussa (2000).
3.The empirical results show ‘large-in-size’ interventions adopted by Bank of Japan in the last decade were effective both in altering the exchange rate level and reducing the volatility of Yen. Jump events that tended to drive yen’s appreciations and volatility increases have been effectively reduced, which are in compliance with the coordination channel that explains the effectiveness in intervention proposed by Taylor (2004) and Reitz and Taylor (2006).
References
1.Admati, A., Pfleiderer, P., 1988. A theory of intraday patterns: Volume and price variability. Review of Financial Studies 1, 3-40.
2.Andersen, T., 1996, Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance 51, 169-204.
3.Anderson, T.G., Berzoni, L., and Lund, J., 1999. An empirical investigation of continuous-time equity return models. Northwestern University, Kellogg Graduate School of Management. NBER working paper 8510.
4.Andersen, T., Bollerslev, T., 1998, Deutsche Mark – Dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies. Journal of Finance 53, 219-265.
5.Andersen, T., Bollerslev, T., Das, A., 2001, Variance-ratio statistics and high-frequency data: testing for changes in intraday volatility patterns. Journal of Finance 56, 305-327.
6.Bai, J., Chong, T.T.L., Chen, H., Wang, X., 2004, Generic consistency of the break-point estimator under specification errors in a multiple-break model. Working paper, The Chinese University of Hong Kong.
7.Bai, J., Perron, P., 2003, Computation and analysis of multiple structural change models. Journal of Applied Econometrics 18, 1-22.
8.Balke, N., Fomby, T., 1997, Threshold cointegration. International Economic Review 38, 627-645.
9.Bartram, S., Karolyi, G., 2006, The impact of the introduction of the Euro on foreign exchange rate risk exposures. Journal of Empirical Finance 13, 519–549.
10.Bauwens, L., Omrane, W., Giot, P., 2005, News announcements, market activity and volatility in the euro/dollar foreign exchange market, Journal of International Money and Finance 24, 1108-1125.
11.Bekaert, G., Gray, S.F., 1998, Target zones and exchange rates: an empirical investigation. Journal of International Economics 45, 1-35.
12.Beine, M., 2004, Conditional covariances and direct central bank interventions n the foreign exchange markets. Journal of Banking and finance 28, 1385-1411.
13.Benassy-Quéré,A., Mojon, B. and Schor, A-D., 1998, The international role of the euro. Centre D’Etudes Prospectives et D’Informations Internationales (CEPII), Paris.
14.Bollerslev, T., 1986, Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307-327.
15.Brason, W.H., 1983, Macroeconomic determinants of real exchange risk, in R.J. Herring (ed.), Managing Foreign Exchange Risk, Cambridge: Cambridge University Press, 33-74.
16.Brason, W.H., 1984, A model of exchange rate determination with policy reaction: Evidence from monthly data, in P. Malgrange and P.A. Meut (eds), Contemporary Macroeconomic Modeling, Oxford: Blackwell, 128-150.
17.Bris, A., Koskinen, Y., Nilsson, M., 2003, The euro and corporate valuations. Yale School of Management Working Paper.
18.Bris, A., Koskinen, Y., Nilsson, M., 2006, The real effects of the euro: evidence from corporate investment. Review of Finance 10, 1-37.
19.Cappiello, L., Hördahl, P., Kadareja, A., Manganelli, S., 2006, The impact of the euro on financial markets. Working Paper Series 589, European Central Bank.
20.Chan, K., 1992, A further analysis of the lead-lag relationship between the cash market and stock index futures market. The Review of Financial Studies 5, 123-152.
21.Chan, W.H., 2003, A correlated bivariate Poisson jump model for foreign exchange. Empirical Economics, 28, 669-85.
22.Chan, W.H., 2004, Conditional correlated jump dynamics in foreign exchange. Economic Letters, 83, 23-8.
23.Chan, W.H., Maheu, J.M., 2002. Conditional jump dynamics in stock market returns. Journal of Business and Economic Statistics 20, 377-389.
24.Chong, T.T.L., 2003, Generic consistency of the break-point estimator under specification errors. Econometrics Journal 6, 167–192.
25.Chu, Q., Hsieh, W., Tse, Y., 1999. Price discovery on the S&P 500 index markets: An analysis of stop index, index futures, and SPDRs. International Review of Financial Analysis 8, 21-34.
26.Coppel, J., Durand, M., Visco, I., 2000, The European Monetary Union, the Euro, and the European policy mix. Journal of Asian Economics 11, 31-63.
27.Cotter, J., 2005, Tail behavior of the euro. Applied Economics 37: 827-840.
28.Das, S.R., 1998, Poisson-Gaussian processes and the bond market. Working paper 6631, NBER.
29.Das, S.R., 2002, The surprise element: jumps in interest rate. Journal of Econometrics 106, 27-65.
30.Degennaro, R., Shrieves, R., 1997, Public information releases, private information arrival and volatility in the foreign exchange market. Journal of Empirical Finance 4, 295–315.
31.De Grauwe. P., Grimaldi, M., 2003, Intervention in the foreign exchange market in model with noise traders. Mimeo.
32.Dominguez, K.M., 1987, Exchange rate efficiency and the behavior of international asset markets. Unpublished Ph.D. thesis, Yale University.
33.Dominguez, K.M., 1998, Central bank intervention and exchange rate volatility. Journal of International Money and Finance 17, 161-190.
34.Dominguez, K.M., Frankel, J., 1993a, Does foreign exchange intervention work? Washington, D.C.: Institute for International Economics.
35.Dominguez, K.M., Frankel, J., 1993b, Does foreign exchange intervention matter? The portfolio effect. American Economic Review 83, 1356-1369.
36.Dumas, B., 1992. Dynamic equilibrium and the real exchange rate in spatially separated world. Review of financial Studies 5, 153-180.
37.Dumas, B., Solnik, B., 1995, The World Price of Foreign Exchange Risk. Journal of Finance 50, 445-479.
38.Enders, W., Granger, C., 1998, Unit root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics 16, 304-311.
39.Eichengreen, B., 1998, The Euro as a reserve currency. Journal of the Japanese and International Economies 12, 483-506.
40.Eijffinger. S.C.W., Gruijters, N.P.D., 1991, on the short term objectives of daily intervention by the Deutsche Bundesbank and the Federal Reserve System in the US Dollar/Deutsche Mark exchange market, Kredit und Capital 24, 50-72.
41.Enders, W., Siklos, P., 2001, Cointegration and threshold adjustment. Journal of Business and Economic Statistics 19, 166-177.
42.Engel, R., Granger, C., 1987, Cointegration and error correction: representation, estimation, and testing. Econometrica 55, 251-276.
43.Engle R., Ng V., 1993, Measuring the testing the impact of news on volatility. Journal of Finance 48, 1749-1778.
44.Fatum, R., Hutchison, M., 2002, Effectiveness of official daily foreign exchange market intervention operations in Japan. Working paper 03-01, Center for Pacific Basin Monetary and Economic Studies, Economic Research Department, Federal Reserve Bank of San Francisco.
45.Feldstein, M., 2000, The European Central Bank and the Euro: the first year. Journal of Policy Modeling 22, 345-354.
46.Fleming, J., Ostdiek, B., Whaley, R., 1996. Trading costs and the relative rate of price discovery in stock, futures and options markets, The Journal of Futures Markets 4, 353-387.
47.Fortune. P., 1999, Are stock returns different over weekends? A jump diffusion analysis of the weekend effect. New England Economic Review Sep/Oct, 3-19.
48.Frankel, J.A., 1982, A test of perfect substitutability in the foreign exchange market. Southern Economic Journal 49, 406-416.new window
49.Frenkel, M., Stadtmann, G., 2004, Trading Rule Profitability and Central Bank Interventions in the Dollar-Deutschmark Market, Jahrbücher für Nationalökonomie und Statistik, 224, 653-72.
50.French, K., Roll, R., 1986. Stock return variances: the arrival of information and the reaction of traders. Journal of Financial Economics 17, 5– 26.
51.Frankel, J.A., Rose, A.K., 1995, Empirical Research on Nominalexchange Rates, in G. Grossman and K. Rogoff (eds), Handbook of International Economics 3, Amsterdam: North-Jolland, 1689-1729.
52.Galati, G., Melick, W., 1999, Perceived central bank intervention and market expectations: An empirical study of the yen/dollar exchange rate, 1993-96. BIS Working paper No. 77.
53.Galati, G., Tsatsaronis, K., 2001, The impact of the euro on Europe financial markets. BIS Working Papers 100, Bank for International Settlements.
54.Garbade, K., Silber, W., 1979. Dominant and satellite markets: A study of dually-traded securities. The Review of Economics and Statistics 61, 455-460.
55.Ghosh, A.R., 1992, Is it singalling? Exchange intervention and the Dollar-deutschemark rate. Journal of International Economics 32, 201-220.
56.Grammig, J., Melvin, M., Schlag, C., 2005, Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects, Journal of Empirical Finance 12, 139–164.
57.Hansen, B., Seo, B., 2002, Testing for two-regime threshold cointegration in vector error correction model. Journal of Econometrics 110, 293-318.
58.Harris, F., McInish, T., Shoesmith, G., Wood, R., 1995, Cointegration, error correction, and price discovery on informationally linked security markets. Journal of Financial and Quantitative Analysis 30, 563-579.
59.Hasbrouck, J., 1995, One security, many markets: determining the contributions to price discovery. Journal of Finance 50, 1175-1199.
60.Hau, H., Killeen, W., Moore, M., 2002, How has the Euro changed the foreign exchange market: Discussion. Economic Policy 34, 151-91.
61.Hillebrand, E., Schnabl, G., 2003, The effects of Japanese foreign exchange intervention GARCH estimation and change point detection. Mimeo.
62.Honohan, P., 2002, How has the Euro changed the foreign exchange market: Discussion. Economic Policy 34, 177-180.
63.Humpage, O.F., 1989, On the effectiveness of exchange market intervention, Federal Reserve Bank of Cleveland, mimeo.
64.Humpage, O.F., Osterberg, W.P., 1990, Intervention and the foreign exchange risk premium: An empirical investigation of daily effects. Global Finance Journal 3, 23-50.
65.Isard, P., 1980, Lessons from an empirical model of exchange rates, International Monetary Fund Staff Papers 34, 1-28.
66.Ito. T., 2002. Is foreign exchange intervention effective? The Japanese experiences in the 1990s. Working paper 8914, NBER.
67.Jansen, D., Haan, J., 2003, Statements of ECB officials and their effect on the level and volatility of the euro-dollar exchange rate, CESifo Working Paper No. 927.
68.Kearns, J. and Rigobon, R., 2005, Identifying the efficacy of central bank interventions: Evidence from Australia and Japan. Journal of International Economics 66, 31-48.
69.Kilian, L., Taylor, M.P., 2001, Why is it so difficult to beat the random walk forecast of exchange rates?, Journal of International Economics (待查)
70.Kim, S., 1999, Do macroeconomic news announcements affect the volatility of foreign exchange rates? Some evidence from Australia. Applied Economics 31, 1511-1521.
71.Kim, S., Moshirian, F., Wu, E., 2005, Dynamic stock market integration driven by the European Monetary Union: An empirical analysis. Journal of Banking and Finance 29, 2475–2502
72.Koop, G., Pesaran, M., Potter, S., 1996, Impulse response analysis in nonlinear multivariate models, Journal of Econometrics 74, 119-147.
73.Korajczyk, R., Viallet, C., 1989. An empirical investigation of international asset pricing. Rev. Financial Stud. 2, 553–585.
74.Lamoureux, C., Lastrapes, W., 1990, Heteroscedasticity in stock return data: Volume versus GARCH effects. Journal of Finance 45, 221-229.
75.Loopesko, B.E., 1984, Relationships among exchange rates, intervention and interest rates: An empirical investigation. Journal of International Money and Finance 3, 257-277.
76.MacKinnon, J., 1996, Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics 11, 601-618.
77.Maheu, J.M., McCurdy, T.H., 2004. News arrival, jump dynamics and volatility components for individual stock returns. Journal of Finance 59, 755-793.
78.Malik, A., 2005, European exchange rate volatility dynamics: an empirical investigation. Journal of Empirical Finance 12: 187-215.
79.Masson, P., Turtelboom, B., 1997, Characteristics of the Euro, the demand for reserves, and policy coordination under EMU. International Monetary Fund Working Paper, WP/97/58.
80.Micco, A., Stein, E., Ordoñez, G., 2003. The currency union effect on trade: early evidence from the European Union. Economic Policy 18, 315-356.
81.Mundell R. 1998, What the euro means for the dollar and the international monetary system. Atlantic Economic Journal 26, 227-237.
82.Mundell, R., 2001, Currency areas and international monetary reform at the dawn of a new century. Review of International Economics 9, 595-607.
83.Mussa, M., 1981, The role of official intervention. Group of Thirty: New York.
84.Mussa, M., 2000, The relationship between the Euro and the Dollar. Journal of Policy Modeling 22, 369-377.
85.Nautz, D., Offermanns, C., 2006, Does the Euro follow the German Mark? Evidence from the monetary model of the exchange rate. European Economic Review 50, 1279-1295
86.Neely, C.J., 1999, Target zones and conditional volatility: the role of realignments. Journal of Empirical Finance 6, 177-192.
87.Obstfeld, M., 1983, Exchange rates, inflation and the sterilization problem. Germany 1975-81. European Economic Review 21, 161-189.
88.Obstfeld, M., 1990, The effectiveness of foreign exchange intervention: recent experience: 1985-1988, in W.H. Brason, J.A. Frenkel and M. Goldstein (eds), International Policy Coordination and Exchange Rate Fluctuations, Chicago: University of Chicago Press, 197-237.
89.Obstfeld, M., Taylor, A.M., 1997, Nonlinear aspects of goods-market arbitrage and adjustment: Heckscher’s commodity points revisited, Journal of the Japanese and International Economies 11, 441-479.
90.Pascual, R., Pascual-Fuster, B., Climent, F., 2001, Cross-listing, price discovery and the informativeness of the trading process. Working paper, Universidad de las Islas Beleares.
91.Patton, A., 2001, Modeling time-varying exchange rate dependence using the conditional copula. U. of California, San Diego, Discussion Paper 2001-2009.
92.Peel, D., Venetis, I., 2003, Purchasing power parity over two centuries: trends and nonlinearity, Applied Economics 35, 609-617.
93.Pindyck, R., 2004, Volatility in natural gas and oil markets. Journal of Energy and Development 30, 1-19.
94.Poterba, L., Summers, L., 1986, The persistence of volatility and stock market fluctuations. American Economic Review 76, 1142-1151.
95.Potter, S., 1991, Nonlinear impulse response functions (mimeo, UCLA).
96.Potter, S., 1994, Asymmetric economic propagation mechanisms. W. Semmler (ed.), Business Cycles: Theory and Empirical Methods, Kluwer Academic Publishers (Norwell, MA).
97.Press, S.J., 1967. A compound events model for security prices. Journal of Business 40, 317-335.
98.Ramaswamy, R. and Samiei, H., 2000, The yen-dollar rate: Have intervention mattered? IMF working paper WP/00/95.
99.Rehman, S., 1997, The path to European Economic and Monetary Union. Kluwer Academic Publications, Norwell, Massachusetts.
100.Reitz, S., Taylor, M., 2006, The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis, Discussion paper series 1: Economic Studies 2006, no. 8, Deutsche Bundesbank, Research Centre.
101.Ross S., 1989, Information and volatility: The no-arbitrage martingale approach to timing and resolution irrelevancy. Journal of Finance 44: 1-17.
102.Sarno, L., Taylor, M., 2002, The economics of exchange rates, in Cambridge University Press, UK.
103.Schwartz, A., 1996, US foreign exchange intervention since 1962. Scottish Journal of Political Economy 43, 379-397.
104.Sinn, H., Westermann, F., 2001, An investigation into the determents of the exchange rate, NBER Working paper No. W8352.
105.Sollis, R., Wohar, M., 2006, The real exchange rate - real interest rate relation: Evidence from tests for symmetric and asymmetric threshold cointegration. International Journal of Finance and Economics 11, 139-153.
106.Stephan, J., Whaley, R., 1990, Intraday price changes and trading volume relations in the stock and stock option markets. Journal of Finance 45, 191-220.
107.Stoll, H., Whaley, R., 1990, The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis 25, 441-468.
108.Su, Q., Chong, T.T.L., 2007, Determining the contribution to price discovery for Chinese cross-listed stocks, Pacific-Basin Finance Journal 15, 140–153.
109.Taylor, M.P., 1995, The economics of exchange rates, Journal of Economic Literature 33, 13-47.
110.Taylor, M.P., 2004, Is official exchange rate intervention effective?, Economica 71, 1-11.
111.Taylor, M.P., Peel, D.A., Sarno, L., 2001, Nonlinear mean-reversion in real exchange rates: Towards a solution to the purchasing power parity puzzles, International Economic Review 42, 1015-1042.
112.Tsay, R., 1998. Testing and modeling multivariate threshold models. Journal of the American Statistical Association 93, 1188-1202.
113.Tse, Y., 1998. International linkages in Euromark futures markets: Information transmission and market integration. The Journal of Futures Markets 18, 128-149.
114.Tse, Y., Bandyopadhyay, P., Shen, Y., 2006, Intraday price discovery in the DJIA index markets. Journal of Business Finance and Accounting 33, 1572-1585.
115.Tse, Y., Lee, T., Booth, G., 1996, The international transmission of information in Eurodollar futures markets: A continuously trading market hypothesis. Journal of International Money and Finance 15, 447-465.
116.Wane, A., Gilbert, S., Dibooglu, S., 2004, Critical values of the empirical F-distribution for threshold autoregressive and momentum threshold autoregressive models. Department of Economic Discussion Paper 2004-13, Southern Illinois University.
117.Watanabe, T., Harada, K., 2006, Effects of the bank of Japan’s intervention on yen/dollar exchange rate volatility. Journal of the Japanese and International Economies, 20, 99-111.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE