Currency Market Reactions to Good and Bad News During the Asian Crisis
Currency Market Reactions to Good and Bad News During the Asian Crisis
复制标题
亚洲危机期间货币市场对好消息和坏消息的反应
DOI：
--
复制
发表时间：
2000
期刊：
影响因子：
--
通讯作者：
T. Willett
中科院分区：
文献类型：
--
作者：
Gab‐Je Jo;T. Willett
亚洲危机的蔓延在多大程度上是基于对基本面预期的合理变化，而不是纯粹由于货币和金融市场行为的不完善而产生的传染效应，对此，分析家们存在很大分歧。在本文中，我们特别关注亚洲五国的外汇市场行为。我们发现，几乎没有支持的假设，即亚洲货币危机是由市场的恐慌，投资者和投机者的反应更强烈的坏消息比好消息。虽然最强烈的反应是国内新闻，但也有一些重大的交叉影响。几乎所有这些都是相同的迹象，表明投资者通常认为对一个国家有利的事情对所有国家都有利。同样，没有系统的证据表明，人们对坏消息的反应比对好消息的反应更强烈。一般来说，市场可能反应过度，将货币推到基本面合理的水平以下，但如果是这样的话，这并没有削弱市场对好消息和坏消息的反应能力，而且这些反应似乎也没有系统地对好消息的反应小于对坏消息的反应。数据中并没有出现经常被指称的盲目恐慌的症状。
There is considerable disagreement among analysts about the extent to which the spread of the Asian crisis was based on reasonable changes in expectations about fundamentals versus pure contagion effects resulting from imperfections in the behavior of currency and financial markets. In this paper we focus specifically on the behavior of the foreign exchange market for the five Asian countries. We find little support for the hypothesis that the Asian currency crisis was dominated by panic in the markets such that investors and speculators reacted much more strongly to bad than to good news. While the strongest reactions were to home news, there were also a number of significant cross effects. Almost all of these were of the same sign, suggesting that investors typically assumed that what was good for one country was good for all. Again, there was no systematic evidence of stronger reactions to bad than to good news. The markets may have overreacted in general, pushing currencies below the levels justified by the fundamentals, but, if so, this did not undercut the markets ability to respond to good as well as bad news, nor do these responses appear to have been systematically smaller to good than to bad news. The symptoms of the blind panic that has so often been alleged do not appear in the data.