Explaining and forecasting the euro/dollar exchange rate through a non-linear threshold model

A linear econometric error correction model (ECM) model is built, based on short interest rates, gross domestic product (GDP) growth expectations and inflation differentials, in order to explain the euro/dollar exchange rate dynamics and provide reliable forecasts. This specification performs well. However, the introduction of non-linear threshold dynamics provides a better understanding of ‘abnormal’ features other than deviations from long-run equilibrium levels, allowing for the possibility of asymmetric behaviour. Empirical evidence of this is found in the actual dynamics of the euro. The non-linear specification performs better than the linear model in both in-sample fitting and out-of-sample forecasting, showing that fundamentals hold, working also through some non-linear mechanism, in explaining the euro/dollar dynamics.     

Analysis of the intraday effects of economic releases on the currency market

Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/USD, JPY/USD, and GBP/USD. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters increase as we approach the time of the releases, and decay exponentially after the releases. Moreover, we compare our results with the results of a poll that we conducted of economists and traders. Finally, we propose a wavelet volatility estimator which is not only more efficient than a range estimator that is commonly used in empirical studies, but also captures the market dynamics as accurately as a range estimator. Our approach has practical value in high-frequency algorithmic trading, as well as electronic market making.     

Measuring the economic importance of exchange rate exposure

This paper re-examines the nature and the economic significance of the exchange rate to firm value relation using a database of non-financial firms from over 18 countries. Our main contribution is to apply a portfolio approach to investigate the economic importance of exposure. We find that firms with high international sales outperform those with no international sales during periods of large currency depreciations by 0.72% per month, whereas they underperform by 1.10% per month during periods of large currency appreciations. In contrast to the previous literature, our evidence shows that exchange rate movements can have an economically significant impact on firm value.     

对中日货币直兑业务发展的思考——以辽宁省大连市为例

自2012年6月1日起,我国完善了银行间外汇市场人民币对日元交易方式,开始发展人民币对日元直接交易,日元成为继美元后第二个与人民币直接交易的主要货币。大连与日本的经贸联系紧密,此政策一出台,在连银行和企业均积极响应,表现出极大的关注。总体看,中日货币直兑开局良好,将对两国经贸关系产生深远影响,但短期内,政策时滞导致银行、企业的交易变化不大,将人民币、日元打造为主要结算货币仍存一些制约因素。本文在分析制约因素的基础上,提出一系列政策建议。     

Overstatement of Implied Variance in the Dollar/Yen Currency Option Market

This paper investigates the predictive power of implied variancesextracted from the dollar/yen option prices. Implied variances areestimated from transaction prices of currency options traded on PHLXusing the option pricing model of Garman and Kohlhagen (1983). Incontrast to recent findings on stock and stock index options, theout-of-sample tests indicate that the implied variance is an upwardbiased estimator of future variance; and that the variance forecastsfrom GARCH and historical models do not contain significantincremental information in predicting future variance. Tradingstrategies are also developed to exploit the observed overstatementof variance in the dollar/yen option market. Traders that can executethe delta-neutral trading strategies at the observed markettransaction prices could lock in a significant profits during theperiod examined. However, for investors that facing highertransaction costs, the magnitude of the profits is generally notlarge enough to allow for abnormal risk-adjusted profits.     

美元霸权:生存基础、生存影响与生存冲突

本文首先对美元霸权进行了界定,认为美元霸权的内涵是美元的超中心地位+发行自由化,外延是对全球造成的不和谐影响。内涵也是其生存基础,外延也是其生存影响。在分析美元霸权的生存基础与生存影响的基础上,本文认为,从长期来看二者具有内在矛盾:生存基础带来生存影响、生存影响反过来动摇生存基础。生存冲突决定了美元霸权的退出具有历史必然性,论文最后提出了美元霸权软着陆的构想。     

美元大幅贬值的原因及对主要经济体货币政策的挑战

美元自2000年以来对主要货币大幅贬值。美元大幅贬值增加了全球金融的不确定性,易诱发金融风险。而且在美元不断贬值过程中,世界其它主要经济体的货币政策亦陷入困境。本文首先分析美元贬值的原因,然后探讨全球主要经济体在此背景下货币政策选择的难点和挑战。     

The influence of the forecast horizon on judgemental probability forecasts of exchange rate movements

An experiment is reported which compares directional forecasting performance of experts, novices and simple statistical models over three time horizons on a task involving probabilistic forecasts of exchange rate movements. Probability-judgement accuracy analyses illustrated no clear overall performance differences between experts and novices, but significant differences between the groups on various important components of judgement suggested that the groups obtained their similar overall scores using different cognitive strategies. Striking horizon effects and expertize–horizon interactions were also observed. The subjects performed better than a random walk forecaster, but worse than the random walk with constant drift and first-order autoregressive models. Composite human judgement, however, not only improved on individual judgement but, also, surpassed the simple statistical models in many instances. Possible explanations are offered for these results, suggestions are made for future research, and practical implications are emphasized.     

民币对美元日汇率决定模型研究

基于汇率决定理论的最新研究进展．本文分析了人民币对美元日汇率的影响因素。研究发现,宏观经济新闻、外汇市场微观因素买卖价差是人民币对美元日汇率的重要影响因素,而中美相对利率并不是人民币对美元日汇率的影响因素。进一步,本文将随机游走模型、新闻变量以及外汇市场微观因素结合起来,构建了人民币对美元日汇率决定理论模型。实证研究发现,人民币对美元日汇率由自身滞后值、中国经济活动方面的新闻和零售市场买卖价差决定。     

The pricing of exchange rate risk and stock market segmentation: The Canadian case

Empirical evidence by Eun and Resnick (1988), among others, has demonstrated the significance of exchange rate risk in the international asset allocation and they have noted that the risk is nondiversifiable. Yet, exchange rate risk was found by Jorion (1991) to be a risk factor that is not priced in the U.S. stock market. This study reexamines such counterintuitive results using data from the Toronto Stock Exchange. The evidence here weakly supports the pricing of the exchange rate risk. Further, the sample period in this study coincides with Jorion's to ensure that both studies examine the pricing of the exchange rate risk in the same global economic environment. The significant pricing of exchange rate risk in Canada and the insignificant pricing in the U.S. imply the possibility of market segmentation.     

Choice of exchange rate system and macroeconomic volatility of three Asian emerging economies

This study highlights the importance of choice of exchange rate system to macroeconomic stability of small-open emerging economies based on the outcomes of the recent exchange rate regime switches of three Asian countries – Indonesia, Malaysia, and Thailand. These countries have high similarities in their economic structures, but have reacted very differently in mitigating the economic distortion of the 1997 financial crisis, in particular in the adoption of exchange rate system. The empirical results of this study show that the amplified instability of macro-variables in Thailand and Indonesia, which was due to the crisis, were not stabilized by switching the exchange rate system to a flexible regime. The volatilities, however, were effectively stabilized after the countries made the second switch – from the independent float to the managed float with no pre-announcement. For Malaysia, a switch from the managed float to the pegged system successfully reduced the volatilities. The exchange rate misalignments of the countries, except Indonesia, were also reduced when the countries switched from a flexible to a more fixed managed float system. These empirical findings thus strongly support central banks of small-open emerging economies to adopt a more fixed, rather than a more flexible system. However, the managed float system needs to couple with efficient management to ensure a smooth and stable regime.     

The effect of the summer doldrums on the market reaction to earnings announcements

Hong and Yu (2009) document a significant decrease in trading volume and returns during the summer months. Given the tendency of noise traders to buy shares following both positive and negative earnings surprises (Lee, 1992), we hypothesize that reduced trading activity by noise-traders results in less of an earnings announcement premium during the summer. Consistent with our hypothesis, we find lower abnormal returns surrounding summer earnings announcements compared to non-summer announcements. We also find lower abnormal returns in the ten days prior to the announcement, consistent with less front-running by sophisticated investors. Finally, we show that these summer effects are stronger in recent years characterized by more online trading and greater noise trader participation.     

The high-frequency response of exchange rates and interest rates to macroeconomic announcements

The joint movements of exchange rates and U.S. and foreign term structures over short-time windows around macro announcements are studied using a 14-year span of high-frequency data. In order to evaluate whether the joint effects can be reconciled with conventional theory, the implications of these joint movements for changes in expected future exchange rates and changes in foreign exchange risk premia are deduced. For several real macro announcements, a stronger than expected release appreciates the dollar today, and must either (i) lower the risk premium for holding foreign currency rather than dollars, or (ii) imply net expected dollar depreciation over the ensuing decade.     

两类银行组合型汇率避险产品应引起关注

随着企业对汇率风险关注度的提高,企业对汇率避险产品的需求日趋旺盛。文章以江苏省为例,重点考察了两类组合型汇率避险产品的运作模式及其对外汇管理和跨境资金流动的相关影响,并从加强对外债和银行综合头寸管理、鼓励银行合理创新产品和构建完善的汇率避险产品统计监测体系等方面,就规范汇率避险产品发展提出建议。     

国际贸易再平衡与汇率政策的关系

全球贸易的不平衡,表现为美国急剧上升的经常账户赤字与中日等国家不断累积的贸易顺差之间的矛盾,并成为美国施压人民币汇率的理由。文章分析表明,国内经济结构、贸易方式甚至国际货币体系等因素部对国际贸易的不平衡构成重大影响,汇率政策不是国际贸易失衡的本质及唯一原因,也不是国际贸易再平衡的解药。寻求国际贸易再平衡的出路,关键因素不是汇率,而要从经济结构调整、贸易方式转变以及货币体系改革中寻求答案。     

Evaluating the effectiveness of exchange rate bands in reducing inflation

This paper contributes to the debate between the intermediate option and the corner solution through evaluating effectiveness of exchange rate bands (target zone and crawling band) in retaining inflation. I employ propensity score matching methods, based on the conditional independence assumption (CIA), to overcome the selection bias and problem of functional form in a sample covering observations from 88 countries from 1998 to 2005. The result suggests countries with target zones experienced significantly lower inflation rates than those with floating exchange rates. I use the sensitivity analysis for matching estimators, which highlights that the result is robust to specific failures of the CIA. Meanwhile, no significant evidence has been found that crawling bands offer a counter- inflationary benefit. It might be explained by the possibility that frequent exchange rate realignments could weaken the role of a nominal anchor and raise inflationary expectations.     

European monetary arrangements: Implications for the dollar,exchange rate variability and credibility

This paper uses the recent history of the ERM to gain insights into what might happen to exchange rates on the road to EMU. to do this, the paper examines the variability of exchange rates, the transmission of monetary policy between countries, the role of the dollar in ERM exchange rate crises, and ERM members' credibility as measured by the realignment probabilities prior to the September 1992 crisis. We identify two factors that might have contributed to the September 1992 crisis: high German interest rates and weakness of the US dollar. We find that behaviour of exchange rates has changed over time and differs between ERM and non-ERM currencies. We also demonstrate that changes in German short-term interest rates influence interest rates in other ERM countries and vice versa.     

关于贸易和汇率间相互引导关系的实证分析及启示

针对在我国究竟是贸易引导汇率和资本流动,还是汇率引导贸易和资本流动这一争议,文章采用计量分析的方式进行了实证检验。实证结果显示,在这三个变量中,贸易差额居于至关重要的地位,其变化引导着人民币汇率变动和跨境资本流动。因此,要缓解我国资本流入的压力,保持人民币在合理水平上的基本均衡,必须从根本上加快转变经济发展方式,减少经济发展对“净出口”的依赖,实现进出口贸易的基本平衡,同时加快推进资本项目可兑换,便利企业“走出去”进行全球投资,并加快推进汇率形成机制改革。     

关于购买力平价与汇率关系的实证研究

文章综述了购买力平价理论及实证检验结果,对25个国家和地区1975年以来的名义汇率与购买力平价的偏离程度进行了比较分析,并认为从静态来看,发展中国家名义汇率对购买力平价的偏离度远远大于发达国家,从动态来看,发展中国家在追赶过程中其名义汇率变动向购买力平价趋同。     

Change in Volatility in the Won/U.S. Dollar Daily Exchange Rate:Stochastic Volatility Model

This study estimates the changes in volatility of the won/U.S. dollar dailyexchange rates before and after the Korean currency crisis, using the stochastic volatility model with the ARMAregression error term. We find that the persistence of volatility increased after the Koreancurrency crisis.