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外汇市场信息与汇率波动性研究 被引量:3

A Study on Information of the Foreign-Exchange Market and Volatility of Foreign-Exchange Rate
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摘要 本文归纳了近年来有关外汇市场的波动性研究的最新进展 ,并运用GARCH等模型及经验数据研究市场信息与国别间汇率的互动关系、公众及私人信息与汇率波动、信息外部性以及交易量与波动性等问题 ,试图揭示外汇市场信息与汇率波动的相关性 ,并指出我国外汇市场的特异性。 The paper gives a general overview of the studies on volatility in foreign-exchange market. By employing the GARCH model and empirical data, the paper mainly studies the mutually affecting relationship between market information and foreighn exchange rate between nations, the relationship between volatility and public and private information, as well as the relationship between volatility and information externalities, trading volume, etc.. By studying the information of the foreign exchange market, the paper tries to probe the mechanisms different from empirical models and to get some inspiration.
出处 《财经研究》 CSSCI 北大核心 2002年第7期14-18,共5页 Journal of Finance and Economics
关键词 外汇市场 汇率波动性 信息 foreign-exchange market volatility information
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参考文献8

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