汇率变动与期货市场投机者净头寸

Exchange rate changes and net positions of speculators in the futures market

该文分析了1993年起芝加哥商业交易所净头寸的周数据,发现投机者净头寸的周变动和汇率变动之间有着很强的同期相关性。特別是在期货市场投机者一周行为已知的情况下,观察者推测同一周汇率变动方向的正确率会达到75%。但净头寸在对下一周汇率变动的预测上效果似乎并不显著。该文认为净头寸数据值得纳入政策分析和汇率动态研究之中。

The authors＇ analysis of weekly net position data from the Chicago Mercantile Exchange since 1993 reveals a strong contemporaneous relationship between weekly changes in speculators＇ net positions and exchange rate moves. Specifically, by knowing the actions of futures market speculators over a given week, an observer would have a 75 percent likelihood of correctly guessing an exchange fate＇s direction over that same week. However, net positions do not appear to be useful for anticipating exchange rate moves over the following week. The paper suggests that position data merit inclusion in policy analysis and research on exchange rate dynamics.