Theoretical and Empirical Analysis of The Foreign Exchange Rate Fluctuations

首先，本文运用市场微观结构方法，从理论和实证两个方面对超短期汇率波动进行了研究。学术界的传统观点认为，汇率是不可预测的，并遵循随机游走过程。然而，私人金融机构花费了数百万美元来预测汇率。由于市场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运动的方向，因此明显的难题得到了解决。研究表明，这种行为是可行的，并且波动性会持续一段时间。其次，分析了货币危机传染到另一个没有明显宏观经济弱点的国家可能存在的联系。结果表明，贸易联系对从一国到另一国的传染力有重要影响。第三，如果干预措施被冲销，则认为外汇干预措施是无效的。然而，研究表明，干预措施在一定条件下是有效的，即使是在绝育的情况下。此外，它表明，货币当局倾向于干预时，利率是远离长期均衡，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.