台北外匯市場之微結構分析

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Title:	台北外匯市場之微結構分析
Other Titles:	A Microstructural Analysis of Taipei Foreign Exchange Market
Authors:	萬哲鈺
Contributors:	淡江大學經濟學系
Keywords:	微結構;異質參與者;反向操作者;趨勢追求者;價格發現;中央銀行干預;Microstructure;Heterogeneous agents;Contrarian;Trend follower;Price discovery;Central bank intervention
Date:	2010
Issue Date:	2011-07-05 23:29:53 (UTC+8)
Abstract:	有鑑於以總體經濟模型基礎之匯率決定理論，無法完全解釋短期實際匯率走勢變化之事實，研究者紛改以其他方法分析短期匯率走勢，而微結構分析則為這些方法的其中之一。根據對外匯市場參與者進行普查所得之結果，微結構觀點認為外匯市場參與者不僅不是風險趨避者且不符合理性預期假說的設定，此隱含外匯市場上的不同參與者在預期形成過程存在異質性的現象，而此可能為影響短期匯率走勢變化的重要因素。因此本研究將利用趨勢追求者、反向操作者與基本分析者同時共存之異質參與者模型，分析這些參與者的行為是否存在於台北外匯市場，以及這些不同市場參與者的行為會對匯率走勢產生何種影響。研究中也將針對台灣中央銀行匯市干預行為進行推估，藉此分析異質市場參與者的行為是否會受到中央銀行匯市干預所影響，並討論中央銀行是否可以藉由影響市場參與者進行交易的意願，達到其干預匯市之目標。另一方面，微結構分析也強調訊息在市場之間的傳遞過程，此除能揭露市場價格的形成方式外，亦能藉此瞭解影響訊息的因素與來源。因此本研究中也將利用台北外匯市場兩家主要外匯經紀公司的每日與日內交易資料，分析市場訊息在台北外匯市場的傳遞過程以及兩家外匯經紀公司所扮演的價格發現角色。 The empirical failure of the macro approach exchange rate models has led to new attempts to model the exchange rate. These attempts have led to different modeling approaches. One of the approach starts from the analysis of the microstructure of the foreign exchange market. This approach has led to new insights into the way information is aggregated and is important for the understanding of the short-term behavior of the exchange rate. This approach also recognizes that heterogeneous agents have different beliefs about the behavior of the exchange rate. These different beliefs introduce nonlinear features in the dynamics of the exchange rate. In this research we will employ a heterogeneous behavioral model with trend followers, contrarians and fundamentalists coexisting to investigate whether the heterogeneous agents exist in Taipei foreign exchange market. This research will also use daily data on the NT/Dollar exchange rate to explore whether the behaviors of these heterogeneous agents will be affected by the intervention of central bank on foreign exchange market and study the effectiveness of intervention of Taiwan central bank. Besides, this research will employ two well documented approaches to measure the relative importance on the process of price discovery of two major brokers in Taipei foreign exchange market and study the information transmission process between these two brokers.
Appears in Collections:	[Graduate Institute & Department of Economics] Research Paper

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