The economics of exchange rate volatility asymmetry
The economics of exchange rate volatility asymmetry
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汇率波动不对称的经济学
DOI：
10.1002/ijfe.189
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发表时间：
2002
影响因子：
2.9
通讯作者：
M. Mckenzie
中科院分区：
文献类型：
--
作者：
M. Mckenzie
金融市场波动的一个常见特征是存在不对称性，即市场受到的冲击不会产生同等的反应。这种现象被归因于股票市场的杠杆效应。在汇率方面，也有不对称的记录，但没有明显的经济原因。本文提出并检验了一个假设，即汇率波动的非对称反应的存在归因于中央银行的干预活动。使用澳大利亚储备银行的每日干预数据，实证证据支持这一假设，这表明，干预可能弊大于利，在动荡的市场。版权所有@2002 John Wiley & Sons，Ltd.保留所有权利。
One commonly observed feature of financial market volatility is the presence of asymmetry whereby shocks to the market do not generate equal responses. This phenomenon has been attributed to the leverage effect for stock markets. For exchange rates, asymmetry has also been documented with no economic reason apparent. In this paper, a hypothesis is proposed and tested which attributes the presence of asymmetric responses in exchange rate volatility to the intervention activity of the central bank. Using daily intervention data for the Reserve Bank of Australia, empirical evidence is presented in support of this hypothesis which suggests that intervention may do more harm than good in volatile markets. Copyright @ 2002 by John Wiley & Sons, Ltd. All rights reserved.