国际黄金现货市场的避险能力研究——基于DCC-GARCH模型

通过引入DCC-GARCH模型,考量黄金现货市场与白银现货市场、大宗商品市场、汇率市场以及股票市场之间的动态相关性。结果表明：黄金现货市场与白银现货市场、大宗商品市场以及汇率市场动态相关性较强,与股票市场动态相关性较弱;样本期间内黄金现货市场与美元指数和美元股指整体呈负相关,对其避险能力较强,对大宗商品市场整体呈正相关,一般条件下不具备避险功能。因此,对于含有大量美元汇率或者美元股指等金融资产的投资组合而言,黄金是一个理想的风险对冲工具。     

On the determinants of “small” and “large” foreign exchange market interventions: The case of the Japanese interventions in the 1990s

During the past 30 years, central banks have often intervened in foreign exchange markets, and the magnitude of their foreign exchange market interventions has varied widely. We develop a quantitative reaction function model that renders it possible to examine the determinants of “small” and “large” interventions. We apply the model to analyzing the intervention policy of the Japanese monetary authorities (JMA) in the yen/U.S. dollar market during the period from 1991 through 2001. To this end, we use recently released official data on the foreign exchange market interventions of the JMA. We find that the JMA tended to conduct large interventions when the yen/U.S. dollar exchange rate drifted away from an “implicit target exchange rate.”     

经济增长、国际资源品价格与输入性通货膨胀——基于扩展的新凯恩斯菲利普斯曲线的实证分析

在新凯恩斯菲利普斯曲线模型中引入国际资源品价格变量、货币供应量、人民币名义汇率,扩展新凯恩斯菲利普斯曲线模型,并利用SVAR模型进行实证检验,结果表明,中国因素已经成为当前国际资源品价格上涨的主要动力,其影响力度强于美元流动性、弱于美元汇率;中国的经济增长、国际资源品价格上升和输入性通货膨胀具有共生关系;输入性通货膨胀因素的影响强于经济增长、货币供应量因素和人民币升值的影响;货币供应量对通货膨胀的影响具有滞后性。因此,应大力发展期货市场,鼓励国内大型企业参股或者控股国外资源开发公司的股权,加强政府对国际大宗商品采购的宏观指导;同时,应加速调整中国经济增长结构。     

Exchange rate determination and dynamics in China: A market microstructure analysis

This paper provides a market-microstructure analysis of exchange rate dynamics in the Chinese foreign exchange market using a vector autoregressive (VAR) modeling framework. An index of order flow is constructed in the Chinese context to reflect excess demand pressure in the foreign exchange market. The VAR model is then estimated to examine whether, and to what extent, order flow influences the long-term level and short-term fluctuations of the Chinese exchange rate. Focusing on the relationship between cumulative order flow and the exchange rate of the Chinese renminbi (RMB) against the US dollar, we find that order flow as a measure of excess demand pressure explains a significant part of the fluctuations in the RMB–dollar exchange rate. Specifically, the results show that there is a long-term cointegrating relationship among the order flow, macro factors and the exchange rate. Overall, these findings are important in understanding the role of order flow in exchange rate determination and bear important implications for practitioners and market regulators.     

Does Bitcoin behave as a currency?: A standard monetary model approach

We derive the Bitcoin exchange rate dynamics by solving the exchange rate equation of the standard flexible-price monetary model to investigate any characteristics of Bitcoin like a currency. The dynamics is driven by an asymmetric mean-reverting fundamental shock which can be attributed to a money demand shock. A crash occurs when the exchange rate with a weakened mean-reverting force breaches a lower boundary where a smooth-pasting condition is imposed. The empirical results show the exchange rate dynamics can be calibrated according to the model, in which the mean reversion of the dynamics is positively co-integrated with the Bitcoin transaction volume indicating demand for Bitcoin; and with the risk reversals of the commodity currencies (Australian dollar and Canadian dollar) in currency option markets. The analysis shows that the Bitcoin exchange rate shares some characteristics of commodity currencies with crash risk. This suggests that Bitcoin behaves as a currency between fiat money and a crypto-commodity used for trading and investment purposes.     

我国当前通货膨胀的国际因素研究

本文在美元持续贬值和全球性通货膨胀的背景下,分析了我国此轮通货膨胀的原因。通过脉冲响应分析、方差分解及协整检验,得出了国际商品价格的持续上涨和我国外汇储备的快速增加都对我国的消费者价格水平带来正的和持久的冲击的结论。     

Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set

We propose an exchange rate model that is a hybrid of the conventional specification with monetary fundamentals and the Evans–Lyons microstructure approach. We estimate a model augmented with order flow variables, using a unique data set: almost 100 monthly observations on interdealer order flow on dollar/euro and dollar/yen. The augmented macroeconomic, or “hybrid,” model exhibits greater in‐sample stability and out of sample forecasting improvement vis‐à‐vis the basic macroeconomic and random walk specifications.     

A test of the stability of exchange rate risk: Evidence from the Australian equities market

This paper investigates the sensitivity of equity returns on Australian industry portfolios to an exchange rate factor for the period 1988–1998. Specifically, using daily data, we (1) analyse the exchange rate exposure of the Australian equities market by implementing a basic augmented market model using relevant bilateral exchange rates, (2) investigate the intertemporal stability of the exchange rate exposure by using a dummy variable specification, and (3) attempt to establish the determinants of the exchange rate exposure of Australian industries by undertaking a cross-sectional analysis. A further empirical issue addressed by our study is that of whether the sensitivity is contemporaneous or lagged. We find (a) some evidence of exchange rate exposure, (b) some evidence of intertemporal sensitivity, and (c) a greater sensitivity to movements in the Australian dollar/US dollar exchange rate factor than to movements in the Australian dollar/Japanese yen. Further, we observe a significant lagged effect when employing the basic augmented model. This difference in the response of the industry portfolio returns is not observed, however, in our intertemporal stability investigation. Finally, we do not find significant evidence in terms of the cross-sectional determinants of foreign exchange exposure.     

The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach

Using the copula function, I propose a new econometric method to measure the state-dependent impact of order flows on returns in foreign exchange markets and examine whether this impact is affected by the number of informed traders. My results indicate that the impact of the order flow decreases as trading becomes more informed. This finding suggests an especially important theoretical implication: that the effect of competition among informed traders tends to dominate that of the adverse selection problem faced by uninformed traders in the euro/dollar and yen/dollar markets.     

Australia’s equity home bias and real exchange rate volatility

The main purpose of this paper is to consider the effect of real exchange rate volatility on equity investment by Australian investors. Equity investment is of major importance to savers and investors in Australia. Also real exchange rate volatility is an important influence on Australia’s financial integration in the global economy. Analysis of the effect of real exchange rate volatility on Australia’s equity home bias is important since Australian dollar is a commodity currency. There is a close relationship between Australia’s terms of trade and real exchange rate volatility. Home bias is measured on the basis of free float-adjusted market capitalization in recognition of the fact that closely held shares are not available to ordinary investors. Real exchange rate volatility is measured by deviations from purchasing power parity on a bilateral basis between Australia and 35 countries. The cross-border equity investment data over the period 2001–2007 are from International Monetary Fund’s Coordinated Portfolio Investment Survey. Australian investors are found to invest significantly less in a country if the real exchange rate volatility of that country is relatively high (results that are robust to standard control measures and generalized method of moments).     

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。     

Two currencies,one model? Evidence from the Wall Street Journal forecast poll

We use the foreign exchange forecasts of the Wall Street Journal (WSJ) poll to analyze the expectation formation process of forecasters for the exchange rates of the euro and the yen vis-à-vis the U.S. dollar for the period 1999–2005. We also compare the expectation formation process with the actual exchange rate process. We find that most forecasters have contrarian exchange rate expectations, but our results also indicate significant heterogeneity between forecasters. While the actual exchange rate process of the yen/dollar exchange rate shows negative autocorrelation, the dollar/euro exchange rate exhibits positive autocorrelation.     

Macroeconomic news and exchange rates

This paper examines the relationship between macroeconomic news and the dollar–Mark and dollar–Yen exchange rates. We employ high-frequency observations for a 10-year period. We investigate whether exchange rate observations need to be sampled at a high frequency in order to detect significant effects from news announcements on mean returns and volatility. We examine the linearity and symmetry of the responses to news and also allow the effects of the news announcements to vary across states of the economy. We find that news indicating a stronger U.S. economy causes an appreciation of the U.S. dollar, that the responses are essentially complete within 5 min, and that measuring the responses over 6-h intervals eliminates the statistical significance of the news. The effects of news appear linear and symmetric but there is some evidence that the effects depend on the state of the economy.     

No puzzle: The foreign exchange exposure of Australian firms

In this paper we analyze the constant and time-varying influence of currency movements on the value of Australian firms listed on the S&P/ASX 100 index for a period from 1980 to 2010 using daily, weekly, monthly and quarterly returns. Whilst the constant exposure model provides only weak evidence over the full sample period the time-varying exposure analysis reveals that most firms are exposed to currency movements in some periods. The exchange rate exposure of Australian firms is dependent on the appreciation or depreciation trajectory of the Australian dollar and on the sample frequencies used. The positive average FX exposure is consistent with the structure of the Australian economy, the size of the mining sector and the role of the Australian dollar as a commodity currency. Finally, we argue that our findings are fully consistent with financial theory and do not constitute a puzzle.     

International order flows: Explaining equity and exchange rate returns

Macroeconomic models of equity and exchange rate returns perform poorly at high frequencies. The proportion of daily returns that these models explain is essentially zero. Instead of relying on macroeconomic determinants, we model equity price and exchange rate behavior based on a concept from microstructure–order flow. The international order flows are derived from belief changes of different investor groups in a two-country setting. We obtain a structural relationship between equity returns, exchange rate returns and their relationship to home and foreign equity market order flow. To test the model we construct daily aggregate order flow data from 800 million equity trades in the U.S. and France from 1999 to 2003. Almost 60% of the daily returns in the S&P100 index are explained jointly by exchange rate returns and aggregate order flows in both markets. As predicted by the model, daily exchange rate returns and order flow into the French market have significant incremental explanatory power for the daily S&P returns. The model implications are also validated for intraday returns.     

The euro–dollar exchange rate and equity flows

I examine equity flows between the US and the euro area and their impact on the euro–dollar exchange rate. I explain equity flows by examining the behavior of an international investor who maintains a minimum variance portfolio. An excess of euro area equity returns over US equity returns generates a flow of equity from the euro area to the US. The equity flow, the purchase of US equities by the euro-area residents, causes appreciation (depreciation) of the dollar (euro), while the purchase of euro area equities by US residents causes appreciation (depreciation) of the euro (dollar).     

Exchange rate determination and inter-market order flow effects

The dependence of foreign exchange rates on order flow is investigated for four major exchange rate pairs, EUR/USD, EUR/GBP, GBP/USD and USD/JPY, across sampling frequencies ranging from 5 min to 1 week. Strong explanatory power is discovered for all sampling frequencies. We also uncover cross-market order flow effects, e.g. GBP exchange rates are very strongly influenced by EUR/USD order flow. We proceed to investigate the predictive power of order flow for exchange rate changes, and it is shown that the order flow specifications reduce RMSEs relative to a random walk for all exchange rates at high-frequencies and for EUR/USD and USD/JPY at lower sampling frequencies.     

Exchange traded currency derivatives markets in India: the road ahead

Indian exchanges have recently been permitted to offer currency futures on their platforms to the market participants. The paper outlines the contract, and charts the development and growth of currency futures in India since their inception in 2008. It emphasizes the existing close connectivity between commodity and currency markets. It highlights the increased exchange rate volatility of Indian exchange rate against US dollar (INRUSD) during conventional and non conventional trading hours and argues for the ability of the market to quickly adapt to extended trading hours. The paper recommends some new products and an alternative mechanism to settle the contracts.     

Central bank announcements of asset purchases and the impact on global financial and commodity markets

We present evidence on the effects of large-scale asset purchases by the Federal Reserve and the Bank of England since 2008. We show that announcements about these purchases led to lower long-term interest rates and depreciations of the U.S. dollar and the British pound on announcement days, while commodity prices generally declined despite this more stimulative financial environment. We suggest that LSAP announcements likely involved signaling effects about future growth that led investors to downgrade their U.S. growth forecasts lowering long-term US yields, depreciating the value of the U.S. dollar, and triggering a decline in commodity prices. Moreover, our analysis illustrates the importance of controlling for market expectations when assessing these effects. We find that positive U.S. monetary surprises led to declines in commodity prices, even as long-term interest rates fell and the U.S. dollar depreciated. In contrast, on days of negative U.S. monetary surprises, i.e. when markets evidently believed that monetary policy was less stimulatory than expected, long-term yields, the value of the dollar, and commodity prices all tended to increase.     

Global liquidity risk in the foreign exchange market

Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, we construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the analog of the well-known Pastor–Stambaugh liquidity measure for the US stock market. We show that this measure has reasonable properties, and that there is a strong common component in liquidity across currencies. Finally, we provide evidence that liquidity risk is priced in the cross-section of currency returns, and estimate the liquidity risk premium in the FX market around 4.7 percent per annum.