Technical analysis and the profitability of U.S. foreign exchange intervention
Technical analysis and the profitability of U.S. foreign exchange intervention
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技术分析与美国外汇干预的盈利能力
DOI：
10.20955/r.80.3-18
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发表时间：
1998
期刊：
影响因子：
--
通讯作者：
Christopher J. Neely
中科院分区：
文献类型：
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作者：
Christopher J. Neely
本文调和了最近关于美国干预外汇市场的研究中发现的一个明显的矛盾。LeBaron（1996）和Szakmary和Mathur（1997）表明，外推技术交易规则不利于美国的外汇干预，并在干预期间产生超额回报。Leahy（1995）表明，美国干预本身在很长一段时间内是有利可图的。换句话说，技术交易在采取与美国干预相反的头寸时获得超额回报——然而，美国干预本身是有利可图的。本文将首先介绍这些主题的最新研究。然后将讨论不同的投资视野、不同的回报和头寸规模如何调和这些事实。
This article reconciles an apparent contradiction found by recent research on U.S. intervention in foreign exchange markets. LeBaron (1996) and Szakmary and Mathur (1997) show that extrapolative technical trading rules trade against U.S. foreign exchange intervention and produce excess returns during intervention periods. Leahy (1995) shows that U.S. intervention itself is profitable over long periods of time. In other words, technical trades make excess returns when they take positions contrary to U.S. intervention - U.S. intervention itself is profitable, however. This article will first present recent research on these subjects. Then it will discuss how differing investment horizons and varying returns and position sizes may reconcile these facts.