Before the crisis of 1997-98,the East Asian economies-except for Japan but including China-pegged their currencies to the US dollar.To avoid further turmoil,the IMF now argues that these currencies should float more f...Before the crisis of 1997-98,the East Asian economies-except for Japan but including China-pegged their currencies to the US dollar.To avoid further turmoil,the IMF now argues that these currencies should float more freely. However,our econometric estimations how that the dollar’s Predominant weight in east Asian currency baskets has returned to its pre-crisis levels.By 2002,the day-to-day volatility of each country’s exchange rate against the dollar has again become negligible.In addition,most governments are rapidly accumulating a"war chest"of official dollar reserves,which portends that this exchange rate stabilization will come to extend over months or quarters.From the doctrine of"original sin"applied to emerging-market economies,we argue that this fear of floating is entirely rational from the perspective of each individual country.And their joint pegging to the dollar benefits the East Asian dollar bloc as a whole, although Japan remains an important outlier.展开更多
This paper estimates the information-based trading using spatially selective noise filtration （SSNF） method. The SSNF method is a kind of filtration technique based on the different spatial correlation of the wavele...This paper estimates the information-based trading using spatially selective noise filtration （SSNF） method. The SSNF method is a kind of filtration technique based on the different spatial correlation of the wavelet transform at several adjacent scales. Using SSNF method, the information shock caused by the informed traders could be extracted from the prices effectively, then the PINs at different scales could be calculated. The measure of informed trading can capture some asymmetric information properties, which is consistent with some empirical consensuses. Furthermore, compared with the MLE method in EKOP model, the method has computational facilities in avoiding the overflow or underflow problem, the boundary solutions problem and the initial values problem. And the method could be applied to the high-frequency world in both order-driven and quote-driven market.展开更多
文摘Before the crisis of 1997-98,the East Asian economies-except for Japan but including China-pegged their currencies to the US dollar.To avoid further turmoil,the IMF now argues that these currencies should float more freely. However,our econometric estimations how that the dollar’s Predominant weight in east Asian currency baskets has returned to its pre-crisis levels.By 2002,the day-to-day volatility of each country’s exchange rate against the dollar has again become negligible.In addition,most governments are rapidly accumulating a"war chest"of official dollar reserves,which portends that this exchange rate stabilization will come to extend over months or quarters.From the doctrine of"original sin"applied to emerging-market economies,we argue that this fear of floating is entirely rational from the perspective of each individual country.And their joint pegging to the dollar benefits the East Asian dollar bloc as a whole, although Japan remains an important outlier.
基金supported by the National Natural Science Foundation of China under Grant Nos.71371023,71371024,71373017,71171146,and 71771008
文摘This paper estimates the information-based trading using spatially selective noise filtration （SSNF） method. The SSNF method is a kind of filtration technique based on the different spatial correlation of the wavelet transform at several adjacent scales. Using SSNF method, the information shock caused by the informed traders could be extracted from the prices effectively, then the PINs at different scales could be calculated. The measure of informed trading can capture some asymmetric information properties, which is consistent with some empirical consensuses. Furthermore, compared with the MLE method in EKOP model, the method has computational facilities in avoiding the overflow or underflow problem, the boundary solutions problem and the initial values problem. And the method could be applied to the high-frequency world in both order-driven and quote-driven market.
