潮起潮落看汇市

一波三折 今年年初以来伴随伊拉克战争的酝酿、爆发、结束,美元汇率的走势也随之一波三折.美元走势的急剧变化主要围绕信心、投机、政策三者的交错运用,推高或打压美元策略、技术性凸显.     

汇改后的外汇产品市场

2005年人民币汇率形成机制改革以来,外汇市场形势变化多多。梳理国内主要商业银行汇改后的外汇产品,并分析和展望其2007年的外汇产品市场发展趋势,有助于商业银行在金融创新的浪潮中占领先机。     

Predicting Volatility in the Foreign Exchange Market

Measures of volatility implied in option prices are widely believed to be the best available volatility forecasts. In this article, we examine the information content and predictive power of implied standard deviations (ISDs) derived from Chicago Mercantile Exchange options on foreign currency futures. The article finds that statistical time-series models, even when given the advantage of “ex post” parameter estimates, are outperformed by ISDs. ISDs, however, also appear to be biased volatility forecasts. Using simulations to investigate the robustness of these results, the article finds that measurement errors and statistical problems can substantially distort inferences. Even accounting for these, however, ISDs appear to be too variable relative to future volatility.     

汇率改革以来中国外汇市场的发展

国际外汇市场和中国外汇市场的交易规模 按照国际清算银行的分类,外汇市场按照交易工具可以分为:传统的外汇市场和外汇衍生品市场.前者包括的交易为:现汇交易,远期交易和外汇掉期交易,后者包括的交易为:货币互换交易,外汇期权交易,以及其他涉及外汇的衍生品交易.     

我国外汇市场展望

作通过对当前我国外汇市场现状的考察，分析了我国外汇市场中存在的主要问题并提出其解决对策，进而对外汇市场的发展前景进行分析预测。     

外汇市场的分形分析

首先分析了外汇市场的EMH，指出了其线性范式与现实市场状况并不相符，然后通过实证，指出了外汇汇率变化不服从正态分析，而是服从分形分布；最后运用R/S方法对外汇变化进行了分形分析，提出汇率变化遵循有偏的随机游走，呈现出状态持续性，对外汇市场风险的度量提出了一些新的看法，并提出了几点政策建议。     

人民币外汇市场的微观结构

本文分析了人民币外汇市场微观结构的变迁和特征,而且结合外汇市场微观结构理论提出了完善人民币汇率形成机制的具体政策建议.2006年年初,中国在人民币外汇市场引入了做市商制度,人民币外汇市场成为了一个混合型市场,做市商在人民币汇率决定中处于核心地位.但是中国外汇市场以场内市场为主,交易量相对较小,客户结构单一,限制了基本面信息的传递.文中提出了完善人民币外汇市场微观结构的具体政策建议.     

Foreign Exchange Market Volatility in Southeast Asia

The time-varying volatility and volatility transmission in Asian foreign exchange markets are investigated in this paper. It has been found that the time-varying volatility and volatility transmission are all prominent in these markets. Moreover, variance simulation is carried out and the structure of covariance matrices examined, revealing the characteristics of Asian foreign exchange markets and offering explanations to the findings.     

中国银行间外汇市场的套利机会

对于人民币远期汇率是否满足利率平价,目前国内理论界与实务界还存在一定的分歧。本文任意选取2009年6月1～30日中国银行间外汇市场美元/人民币汇率连续实时的买卖报价等数据,首次对该市场的套利机会进行了测度。研究发现:(1)从抵补套利角度看,国内银行间中短期限(1年以内)的远期汇率定价符合利率平价理论;但因定价基准利率(SHIBOR)未能充分发挥基础利率的功能,致使1年期左右的人民币远期汇率存在潜在抵补套利机会,然而其收益率很低。(2)银行间外汇市场几乎随时都存在收益率可观的单边套利机会。(3)银行有足够的时间进行套利交易。     

关于外汇市场有效性的Johnsen协整检验

采用2000年1月至2006年12月间的数据,运用协整方法对外汇市场的有效性进行了检验,研究结果显示,日元与英镑,日元与欧元,以及人民币与日元、与英镑、与欧元的汇率市场是有效的,分析认为这与实际情况比较相符,表明采用协整方法对外汇市场的长期数据进行检验来验证市场有效性是可行的.     

Trading Patterns and Prices in the Interbank Foreign Exchange Market

The behavior of quote arrivals and bid-ask spreads is examined for continuously recorded deutsche mark-dollar exchange rate data over time, across locations, and by market participants. A pattern in the intraday spread and intensity of market activity over time is uncovered and related to theories of trading patterns. Models for the conditional mean and variance of returns and bid-ask spreads indicate volatility clustering at high frequencies. The proposition that trading intensity has an independent effect on returns volatility is rejected, but holds for spread volatility. Conditional returns volatility is increasing in the size of the spread.     

汇率调整后外汇理财市场与风险防范

人民币升值给外汇理财市场带来了一定冲击和影响。但这种影响是短期的,用长远的眼光来看,外汇理财市场具有很好的发展前景。如何防范市场风险,实现收益与风险的平衡,银行、投资者共同努力,促进外汇理财业务走上规范、健康的发展道路。     

我国股票市场与外汇市场联动效应研究

随着区域经济一体化进程的推进,汇率波动与金融资产价格之间的联动关系越来越紧密。2014年以来,人民币汇率和我国股票市场出现了较大波动和共振格局,金融市场的波动对金融稳定和宏观调控都带来了较大的挑战。在梳理股票市场与外汇市场联动国际经验的基础上,定性分析二者联动的影响因素,通过格兰杰因果检验和脉冲响应分析量化了股票市场与外汇市场联动的关系,最后得出我国股票市场与外汇市场联动效应存在非对称性的结论。     

Forecasting Emerging Market Exchange Rates from Foreign Equity Options

The use of derivatives to infer future exchange rates has long been a subject of interest in the international finance literature. With the recent currency crises in Mexico, Southeast Asia, and Brazil, work on exchange rate expectations in emerging markets is of particular interest. For some emerging markets, foreign equity options are the only liquid exchange‐traded derivatives with currency information embedded in their prices. Given that emerging markets sometimes undergo currency realignment with discrete jumps in their exchange rate, estimation of risk‐neutral probability density functions from foreign equity option data provides valuable evidence concerning market expectations. To illustrate the use of foreign equity options in estimating market beliefs, we consider Telmex options around the 1994 peso devaluation and find evidence that markets anticipated the change in the Mexican government's foreign exchange policy.     

海外交易所衍生产品市场的发展态势及经验借鉴

建立市场监管制度和风险控制体系并在实践中不断加以完善,维持市场创新与风险管控的协调平衡,是推动交易所衍生产品市场健康发展的关键所在.不能因为次贷相关产品出现问题,而对金融衍生产品采取一刀切的简单做法.当前应在严格规范场外衍生产品市场发展的同时,重点发展相对简单、集中监管的交易所衍生产品,如股指期货、国债期货等基础金融衍生产品.     

中国股市与汇市的波动溢出效应研究

以上证综合指数和人民币兑美元名义汇率为指标,运用多元GARCH模型对中国股票市场和外汇市场之间的波动溢出效应进行的实证研究表明,汇率制度改革后,我国股市与汇市存在显著的双向波动溢出效应,汇市对股市表现出较强的波动传导,而股市对汇市的波动传递相对较弱,存在着波动传导的非对称性。     

人民币外汇市场压力与央行外汇干预的经验估计

本文采用Weymark指数法估计了1994年来我国面临的外汇市场压力和央行外汇干预指数,实证结果显示1994年来人民币一直面临着升值压力,样本期间中央银行平均干预指数为0.97,说明我国央行实行的是强势干预政策以保持人民币汇率的稳定。利用人民币外汇市场压力指数对我国潜在货币危机的研究表明,2005年人民币汇率改革之后,人民币面临的外汇市场压力过度了,存在货币危机的可能性。     

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

We study the impact of algorithmic trading (AT) in the foreign exchange market using a long time series of high‐frequency data that identify computer‐generated trading activity. We find that AT causes an improvement in two measures of price efficiency: the frequency of triangular arbitrage opportunities and the autocorrelation of high‐frequency returns. We show that the reduction in arbitrage opportunities is associated primarily with computers taking liquidity. This result is consistent with the view that AT improves informational efficiency by speeding up price discovery, but that it may also impose higher adverse selection costs on slower traders. In contrast, the reduction in the autocorrelation of returns owes more to the algorithmic provision of liquidity. We also find evidence consistent with the strategies of algorithmic traders being highly correlated. This correlation, however, does not appear to cause a degradation in market quality, at least not on average.