کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5085055 1477924 2013 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Exchange rate determination and dynamics in China: A market microstructure analysis
ترجمه فارسی عنوان
تعیین نرخ ارز و پویایی در چین: تجزیه و تحلیل ریزساختار بازار
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper provides a market-microstructure analysis of exchange rate dynamics in the Chinese foreign exchange market using a vector autoregressive (VAR) modeling framework. An index of order flow is constructed in the Chinese context to reflect excess demand pressure in the foreign exchange market. The VAR model is then estimated to examine whether, and to what extent, order flow influences the long-term level and short-term fluctuations of the Chinese exchange rate. Focusing on the relationship between cumulative order flow and the exchange rate of the Chinese renminbi (RMB) against the US dollar, we find that order flow as a measure of excess demand pressure explains a significant part of the fluctuations in the RMB-dollar exchange rate. Specifically, the results show that there is a long-term cointegrating relationship among the order flow, macro factors and the exchange rate. Overall, these findings are important in understanding the role of order flow in exchange rate determination and bear important implications for practitioners and market regulators.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 29, September 2013, Pages 303-316
نویسندگان
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