Heterogeneous behaviors and the effectiveness of central bank intervention in the yen/dollar exchange market
學年 100
學期 2
出版（發表）日期 2012-06-01
作品名稱 Heterogeneous behaviors and the effectiveness of central bank intervention in the yen/dollar exchange market
作品名稱（其他語言）
著者 萬哲鈺; 高崇瑋; Kao, Chung-Wei; Wan, Jer-Yuh
單位 淡江大學經濟學系
出版者 Taylor & Francis
著錄名稱、卷期、頁數 Applied Financial Economics 22(12), pp.967-975
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.
關鍵字 nonlinearity;heterogeneous agents;central bank intervention;foreign exchange market;uncovered interest rate parity
語言 en_US
ISSN 1466-4305
期刊性質 國外
收錄於
產學合作
通訊作者 萬哲鈺
審稿制度 是
國別 GBR
公開徵稿
出版型式
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