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    题名: Heterogeneous behaviors and the effectiveness of central bank intervention in the yen/dollar exchange market
    作者: 萬哲鈺;高崇瑋;Kao, Chung-Wei;Wan, Jer-Yuh
    贡献者: 淡江大學經濟學系
    关键词: nonlinearity;heterogeneous agents;central bank intervention;foreign exchange market;uncovered interest rate parity
    日期: 2012-06
    上传时间: 2013-01-21 14:11:06 (UTC+8)
    出版者: Taylor & Francis
    摘要: A nonlinear heterogeneous agent model is applied to the yen/dollar exchange rate market to discuss the channels of an effective central bank intervention. The existence of two hypothetical channels proposed by Hung (1997) and Taylor (2004, 2005) are tested and confirmed. Evidence shows heterogeneous agents are active in the yen/dollar market where the stabilizing force from the fundamentalists declines in large misalignments. Central bank intervention is effective in arousing the trend-reversing sentiment among chartists to prevent market from explosion. The intervention is also effective in strengthening fundamentalists’ confidence that the market will move toward its theoretical equilibrium. The intervention has significant effects on fundamentalists’ confidence, regardless of whether the forecasting method relies on Purchasing Power Parity (PPP) only or on a PPP plus Uncovered Interest rate Parity (UIP) condition. The interest rate differential can affect the exchange rate changes through influencing demand orders of the short-run fundamentalists.
    關聯: Applied Financial Economics 22(12), pp.967-975
    DOI: 10.1080/09603107.2011.633887
    显示于类别:[經濟學系暨研究所] 期刊論文


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