Exchange rate volatility and the mixture of distribution hypothesis
Exchange rate volatility and the mixture of distribution hypothesis
复制标题
汇率波动与混合分布假说
DOI：
10.2139/ssrn.691885
复制
发表时间：
2005
影响因子：
3.2
通讯作者：
Genaro Sucarrat
中科院分区：
文献类型：
--
作者：
L. Bauwens;Dagfinn Rime;Genaro Sucarrat
本研究通过对挪威克朗每周汇率波动的研究，为混合分布假说提供了新的思路。与其他研究一致，我们发现信息到达对汇率波动的影响是正的，且具有统计学意义，交易者数量的增加会降低汇率波动的假设不被支持。我们研究的新颖之处在于记录了信息到达对波动率的积极影响在三种不同的汇率制度中相对稳定，并且对周波动率和周实现波动率的影响相对相似。由于在研究期间的部分时间里，中国央行曾积极追求汇率稳定，因此没有考虑到前者的情况。我们还报告了一个案例，其中在传统框架中获得的不希望的剩余属性很容易通过对波动率应用对数变换来去除。
This study sheds new light on the mixture of distribution hypothesis by means of a study of the weekly exchange rate volatility of the Norwegian krone. In line with other studies we find that the impact of information arrival on exchange rate volatility is positive and statistically significant, and that the hypothesis that an increase in the number of traders reduces exchange rate volatility is not supported. The novelties of our study consist in documenting that the positive impact of information arrival on volatility is relatively stable across three different exchange rate regimes, and in that the impact is relatively similar for both weekly volatility and weekly realised volatility. It is not given that the former should be the case since exchange rate stabilisation was actively pursued by the central bank in parts of the study period. We also report a case in which undesirable residual properties attained within traditional frameworks are easily removed by applying the log-transformation on volatilities.