会员登录
会员注册
张碧琼 高慧清 （中央大学金融学院）
候永建(2002)、宋耀(2004)和苑莹(2007)等多位国内学者对国际主要货币兑美元汇率进行了研究，均得出了汇率序列波动呈非线性特征的结论。杨妮(2008)研究了英镑(GBP)、瑞士法郎(CHF)、日元(JPY)、瑞典克朗(SEK)和加拿大元(CAD)兑美元(USD)的日汇率数据，样本区间选自
尽管异质性代理商方法在理论上是令人满意的，但由于模型的非线性特征使得实证检验较为困难。Boswijk et al.(2007)，De Jong et al.(
四、简评
20世纪70年代传统汇率模型在实证检验方面的失败，以及实证检验中汇率脱离之谜、过度波动和后尾等异常现象的存在，推动汇率研究方法寻求突破，形成了宏微观一致分析方法、微观结构分析方法和异质性代理商分析方法三个方向的新进展，共同构成了汇率决定理论新进展的主流。
第一个方向是汇率的宏微观一致模型。采用Obstfeld & Rogoff的代表性代理商动态效用最优化分析框架，可以解释汇率脱离之谜。该模型以理性预期为假设前提，与之前的汇率模型相比，微观基础更加丰富；宏微观一致模型的分析方法以Redux模型为基础，通过扩展假设条件或纳入新的变量来完善模型的解释能力，用于对汇率波动和货币政策规则等问题的分析。
虽然具有微观基础的汇率模型可能在外汇风险溢价的决定、外汇干预有效性方面提供新的解释。但这些讨论都强烈依赖于模型的假设条件，并且微观基础模型的实证研究仍处于起步阶段，更多研究方法产生和获取的交易数据的出现，将有利于实证研究的完善。
第二个方向为汇率的微结构理论。汇率的微结构理论是检验与外汇定价相关的交易信息如何通过交易过程影响即期汇率的分析方法。根据这种方法，交易的细节是即期汇率的重要决定因素，可以交易细节的多变性解释汇率过度波动。假设市场参与者拥有分散的有关宏观经济基本面的异质性信息，这些信息通过指令流的汇集传递给汇率。外汇市场上的分散信息通过指令流影响外汇市场做市商的报价，并最终影响即期汇率的走势。众多实证研究的结果表明做市商间的指令流能够解释日内即期汇率的变动，且对即期汇率的影响具有持久性。
该理论强调市场微观结构和信息集聚方式的重要性，对理解汇率的短期行为有重要意义。但是，汇率决定的微结构分析并非对宏观汇率理论的否定，二者之间存在互补关系，融合宏观与微观元素的混合模型，将成为汇率经济学研究的重要发展方向。
第三个方向为异质性代理商与汇率动态分析。这种方法认为异质性代理商对汇率的行为有不同的判断(beliefs)，这些不同的判断使得汇率的动态变化过程存在非线性特征。研究者将交易者汇率预期划分为外推型预期、适应性预期、回归型预期三个基本类型，以及由它们组合成混合型预期。由于不同预期下信息传递的不完全性造成的信息不对称，以及交易者对相同信息持有不同的信念，使交易者的汇率预期呈现显著异质性。
将异质性汇率预期作为前提假设引入汇率理论，能够在一定程度上提高汇率决定模型对汇率变化动态结构的解释能力。然而，对于评估样本外预测准确性的检验方法，并没有太多人关注到它的统计性质。因此，对中小样本稳健的推断方法研究是一发展方向。
总体上说，基于汇率之谜推动的汇率研究取得大量新成果，但模型的一般化和广泛的实证支持均存在不足，在许多方面的观点尚未达成一致的结论，这有待于进一步探索和研究。
本项目得到中央财经大学211工程研究基金，教育部人文社会科学基金面上项目资助(项目批准号：10YJA790240)。
参考文献：
Ahrens & Reitz(2005), "Heterogeneous expectations in the foreign exchange market", Journal of Evolutionary Dynamics 15:65—82.
Andersen, Bollerslev, Diebold & Vega (2003),"Micro effects of macro announcements: Real—time price discovery in foreign exchange", American Economic Review 93:38—62.
Aghion, Bacchetta, Rancière & Rogoff(2009), "Exchange rate volatility and productivity growth: The role of financial development", Journal of Monetary Economics 56:494—513.
Bacchetta & Van Wincoop(2005), "A theory of the currency denomination of international trade", Journal of International Economics 67: 295— 319.
Bacchetta & Van Wincoop(2006), "Can information heterogeneity explain the exchange rate determination puzzle?",The American Economic Review 96:552—576.
Benigno & Thoenissen(2006), "Consumption and real exchange rates with incomplete markets and non— traded goods", CEP Discussion Papers.
Betts & Devereux(1996), "The exchange rate in a model of pricing— to— market", European Economic Review 40:1007—1021.
Betts & Kehoe(2008), "Real exchange rate movements and the relative price of non—traded goods", NBER Working Paper No. 14437.
Boswijk, Hommes & Manzan(2007), "Behavioral heterogeneity in stock prices", Journal of Economic Dynamics and Control 31: 1938— 1970.
Brock & Hommes (1997), "A rational route to randoness", Econometrica 69:1059 — 1095.
Burstein, Eichenbaum & Rebelo(2006), "The importance of nontradable goods’ prices in cyclical real exchange rate fluctuations”,
Cavallo & Ghironi(2002), "Net foreign assets and the exchange rate: Redux revived", Journal of Monetary Economics 49:1057—1097.
Cheung & Chinn(2001), "Currency traders and exchange rate dynamics: A survey of the
Corsetti, Dedola & Leduc(2005), "DSGE models with high exchange rate volatility and low pass— through", International Finance Discussion Papers of the Federal Reserve Board, No. 845.
Cristadoro, R. et al (2008)," Real exchange rate volatility and disconnect" , Bank of
De Grauwe & Grimaldi(2006), "Exchange rate puzzles: A tale of switching attractors", European Economic Review 50:1—33.
De Jong, Verschoor & Zwinkels(2009), "A heterogeneous route to the
De Jong, Verschoor & Zwinkels(2010), "Heterogeneity of agents and exchange rate dynamics: Evidence from the
Devereux & Engel(2002), "Exchange rate pass—through,exchange rate volatility, and exchange rate disconnect",Journal of Monetary Economics 49: 913—940.
Devereux, M. B. (2004), "Monetary policy rules and exchange rate flexibility in a simple dynamic general equilibrium model", Journal of Macroeconomics 26: 287—308.
Devereux & Engel (2007), "Expenditure switching versus real exchange rate stabilization", Journal of Monetary Economics 54(8): 2346—2374.
Engel, C. (1999), "Accounting for
Evans & Lyons(
Evans & Lyons(2002b), "Informational integration and FX trading", Journal of International Money and Finance 21:807—831.
Evans, M. D. (2010), "Order flows and the exchange rate disconnect puzzle", Journal of International Economics 80:58—71.
Frankel & Froot(1990), "Chartists, fundamentalists, and trading in the foreign exchange market", The American Economic Review 80:181— 185.
Wang, Jian(2010), "Home bias, exchange rate disconnect,and optimal exchange rate policy", Journal of International Money and Finance 29: 55 — 78.
Landry, A. (2009), "Expectations and exchange rate dynamics: A state—dependent pricing approach", Journal of International Economics 78: 60— 71.
Manzan & Westerhoff (2007),"Heterogeneous expectations, exchange rate dynamics and predictability", Journal of Economic Behavior & Organization 64:111 — 128.
Meese & Rogoff(1983), "Empirical exchange rate models of the seventies", Journal of International Economics 14: 3 —24.
Mende, Menkhoff & Osler(2005), "Asymmetric information and currency spreads", Brandeis University Working Paper.
Menkhoff, L. et al(2009), "Heterogeneity in exchange rate expectations: Evidence on the chartist—fundamentalist approach", Journal of Economic Behavior & Organization 70:241—252.
Nikkinen, J. et al(2009), "Central bank interventions and implied exchange rate correlations", Journal of Empirical Finance 16: 862— 873.
Obstfeld & Rogoff (1995),"Exchange rate dynamics redux", The Journal of Political Economy 103: 624— 660.
Obstfeld & Rogoff(2000), "New directions for stochastic open economy models", Journal of International Economics 50(1) :117—153.
Reitz & Taylor(2008), "The coordination channel for foreign exchange intervention: A nonlinear microstructural analysis", European Economic Review 52:55—76.
Shiller, R. J, (1984), "Stock prices and social dynamics",Brookings Papers in Economic Activity 2:457—510.
Tille, C. (2008), "Financial integration and the wealth effect of exchange rate fluctuations", Journal of International Economics 75: 283—294.