噪声交易、贸易开放与滞后汇率超调——基于PTM-NOEM模型的理论研究

Noise Trading, Trade Openness and Delayed Exchange Rate Overshooting: A Study Based on PTM-NOEM Model

通过构建一个包含进出口品依市定价的开放经济两国模型,本文检验了外汇市场噪声交易、贸易开放与短期汇率的理论关系。研究表明,噪声交易的存在会造成货币冲击发生后无抛补利率平价条件偏离理性预期的情形,从而名义汇率超调出现滞后;贸易开放度越高,货币政策对产出的刺激作用越小,且噪声交易的消极影响越明显。本研究还为经常项目与货币政策关系实证研究中发现的"J曲线"效应提供了较好的理论解释。此外,贸易开放度较高时,货币冲击的福利损失将扩大,但同时噪声交易将显著增加本国福利损失向外国的转移。敏感性分析证明,滞后超调是一个稳健的短期汇率特征。

By constructing a two-country model employing the feature of pricing-to-market, this paper studies the theoretical relations of trade openness, short-term exchange rate and noise trad- ing in foreign exchange market. The model indicates that noise trading would result in a deviation from UIP that is unchanged in the situation of rational expectations, thus a delayed overshooting is found in delay. Positive effect of monetary policy on real output will decrease with the increasing trade openness, and the negative influence of noise trading on the role of monetary policy becomes more severe. The model offers a theoretical explanation for the J-curve effect found in empirical research on the relation between current account and monetary factors. Moreover, when trade openness is relatively high, welfare loss of monetary shocks will increase. But simultane- ously, noise trading would enlarge the significant dispersion of welfare loss to foreign countries. Finally, sensitivity analysis proves delayed overshooting a robust character of exchange rate in short run.