Technical trading, monetary policy, and exchange rate regimes

被引：7

作者：

Bauer, Christian ^{[1
]}

Herz, Bernhard ^{[1
]}

机构：

[1] Univ Bayreuth, D-95440 Bayreuth, Germany

来源：

GLOBAL FINANCE JOURNAL | 2005年 / 15卷 / 03期

关键词：

Chartists; Exchange rates; Monetary policy; Multiple equilibria; Noise;

D O I：

10.1016/j.gfj.2004.07.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper extends and empirically tests the noise trader exchange rate model of Jeanne and Rose (2002). We introduce technical trading in the exchange market as a source of noise and explicitly incorporate monetary and exchange rate policy. With these modifications, it is possible to directly test the model's prediction of an U-shaped relation between exchange trend and volatility. We find strong empirical evidence supporting the implications of the model. As a corollary, we develop a measure of excess exchange rate volatility and categorize exchange rate regimes based on the de facto behavior of the exchange rates. (C) 2004 Elsevier Inc. All rights reserved.

引用

页码：281 / 302

页数：22

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[2]

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