Theoretical and Empirical Analysis of The Foreign Exchange Rate Fluctuations

首先，运用市场微观结构方法，从理论和实证两个方面考察了我国汇率的短期波动。学术界的传统看法是，汇率是不可预测的，遵循随机游走过程。然而，私人金融机构花费了数百万美元来预测汇率。这个明显的难题被解决了，因为市场上的新信息必须在几个小时内消化，在此期间，对新信息有更好解释的金融机构可以预测走势的方向。研究表明，这种活动是可行的，而且波动性也持续了一段时间。其次，分析了货币危机在宏观经济没有明显疲软的情况下传染到另一国的可能性，以确定国家之间可能存在的联系。研究表明，贸易联系对于从一个国家传染到另一个国家的强度是重要的。第三，如果干预被冲销，外汇干预被认为是无效的。然而，研究表明，干预措施在一定条件下是有效的，即使是在消毒后也是如此。此外，研究还表明，当利率偏离长期均衡时，货币当局倾向于进行干预，并迅速远离长期均衡。

First, the very short-run exchange rate fluctuations were investigated, theoretically and empirically, with market microstructure approach. The academic conventional wisdom is that the exchange rate is unpredictable and follows a random walk process. However, private financial institutions spent millions of dollars in an effort to predict the exchange rate. The obvious puzzle is solved as new information to the market has to be digested within several hours, during the period financial institutions with better interpretation of new information can predict the direction of the movements. The research shows that such activities are feasible, and also volatility persists for some time.Second, the currency crisis contagion to another country without obvious macroeconomic weakness is analyzed for possible linkage of the countries. It was shown that trade linkage is important in the strength of contagion from one country to another.Third, foreign exchange interventions were believed to be ineffective if interventions were sterilized. However, the research shows that interventions are effective under a certain set of conditions, even when they are sterilized. Moreover, it was shown that the monetary authorities tend to intervene when the rate is away from the long-run equilibrium and moving away from the longrun equilibrium quickly.