公共信息对人民币外汇市场价格发现的作用机制研究——基于市场微观结构视角

本项目拟从“公共信息、多层交易市场、多交易机制并存”的角度出发，通过合理构建包含交易商对终端用户市场和交易商市场的二层市场结构、同时允许交易商直接报价和限价订单簿报价交易机制并存的动态一般均衡模型，全面分析定期和非定期公共信息与市场微观结构对外汇市场价格发现的作用机制。进而，在传统低频率宏观汇率模型中引入公共信息和市场微观结构要素，构建中长期汇率宏微观混合模型，为汇率的宏微观结合研究做出贡献。同时，本项目利用详细的全球公共信息数据、在岸和离岸人民币外汇市场高频交易数据，为理论模型提供实证检验。通过使用严谨的计量经济学模型和技术，研究在多层交易市场、多交易机制并存的市场结构下，公共信息对在岸和离岸人民币外汇市场汇率价格变动、价格发现效率、交易特征、交易网络结构的影响以及宏微观混合模型对人民币外汇市场的适用性，为深化我国外汇市场改革、提高风险管理和应对外部冲击能力提供依据。

In this project, we try to build a dynamic general equilibrium framework with public information and the coexistence of multiple mainstream foreign exchange trading markets and mechanisms. We aim to study the impacts of scheduled and unscheduled public information and market microstructures on price discovery of foreign exchange market by comprehensively considering a two-tier market containing both dealer-end-users and interdealer markets, together with coexistence of dealer direct quoting and limit order book mechanisms. Furthermore, we are going to build hybrid models by incorporating the public information and microstructure features into the traditional macro-based exchange rate model and make contributions to the combination of macro and micro determinants in exchange rates study. Based on the detailed global public information data, transaction data of China’s onshore and offshore RMB foreign exchange markets, we provide the empirical tests for the theory’s predictions. We apply the econometric methods to study the influence of public information on exchange rate changes and volatilities, price discovery efficiency, trading characteristics, trading networks of onshore and offshore RMB foreign exchange markets, and the feasibility of the hybrid models under the market microstructures with coexistence of multiple trading mechanisms. This project will provide important implications for further developments of Chinese foreign exchange market, enhancing the abilities of risk management and handling external shocks.