外汇市场的定单流决定和影响汇率的理论与实证分析

本文从微观外汇市场结构的视角出发，借助于Evans和Lyons（2001）提出的微观外汇市场结构模型，详细剖析微观外汇市场汇率决定的核心变量一一定单流，指出其功能及在汇率决定中的应用。并分别利用美元与马克以及美元与人民币两个货币对的实际数据通过协整、误差修正模型以及最小二乘回归进行了验证，研究结果表明，人民币／美元汇率波动与定单流之间存在长期的均衡关系，但是整体来看人民币／美元定单流的解释能力没有马克／关元定单流的解释能力那么强，说明虽然我国目前已经具备了微观汇率决定理论的部分前提基础条件，但是，我国外汇市场市场机制完善程度较低是制约定单流功能发挥的重要原因。

The Theoretical and Empirical Analysis of Exchange Rate Determined and Effected by Order Flow of Foreign Exchange Market

We start this paper from the perspective Of the micro-structure of the foreign exchange market. Basing on the model constructed by Evans and Lyons in 2001,we make detailed analysis on the key variable-order flow,which can determine the rate of micro-foreign exchange rate market. At the same time,we point out the function of order flow and its application in the determination of exchange rate. Finally,we employ the approaches of OLS,cointegration and ECM to test on Mark and Ren- minbi exchange rate against US dollar. And the results show the explanation ability of order flow on Renminbi exchange rate is not as strong as that on Mark Exchange rate,which is to say,although China already has the partial basic conditions of the micro theories of exchange rate determination,during the Sample period,imperfect of the market system become the main reasons to restrict order flow to bring its function into full use.