SOURCES OF METEOR-SHOWERS AND HEAT WAVES IN THE FOREIGN-EXCHANGE MARKET

被引：38

作者：

HOGAN, KC

MELVIN, MT

机构：

[1] ARIZONA STATE UNIV,DEPT ECON,TEMPE,AZ 85287

[2] MCGILL UNIV,FAC MANAGEMENT,MONTREAL H3A 1G5,PQ,CANADA

来源：

JOURNAL OF INTERNATIONAL ECONOMICS | 1994年 / 37卷 / 3-4期

关键词：

EXCHANGE RATE VOLATILITY; METEOR SHOWERS; HETEROGENEOUS EXPECTATIONS; NEWS; EXCHANGE RATES;

D O I：

10.1016/0022-1996(94)90047-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine the role that news and heterogeneous expectations play in the persistence of exchange rate volatility, or so-called 'meteor shower' effects. Our empirical focus is on the U.S. trade balance news, which is shown to have a significant and persisting effect on the exchange rate and its conditional variance. Furthermore, the impact of U.S. trade balance 'news' is not isolated to the U.S. foreign exchange market. The degree to which U.S. trade balance 'news' affects other geographical market locations is functionally related to heterogeneous priors.

引用

页码：239 / 247

页数：9

共 14 条

[1]

ADMATI A, 1988, REV FINANC STUD, V1, P30

[2] INTRADAY AND INTER-MARKET VOLATILITY IN FOREIGN-EXCHANGE RATES [J].