异质交易者模型与中央银行汇市干预有效性分析：以日本为例 Heterogeneous Agents Model and the Effectiveness of Official Intervention in the Foreign Exchange Market: Evidence from Japan

Abstract

本研究以Westerhoff & Reitz (2003) 的模型为基础，将金融市场常见的反向操作行为纳入外汇市场汇率走势变化分析。研究中除讨论反向操作策略是否存在于外汇市场外，并探讨中央银行汇市干预是否会影响基本分析者与反向操作者参与市场的行为，讨论央行能否透过Taylor (2004,2005) 之整合管道以及 Hung(1997) 之噪音交易管道，达到其干预与影响外汇市场之目的。实证内容以日本银行外汇市场实际干预资料为依据。实证结果指出日本银行的汇市干预的确可以同时透过整合管道与噪音交易管道，影响基本分析者以及反向操作者参与市场的意愿。随着央行干预力量的增强，基本分析者以及反向操作者参与的市场的意愿也随之提高，使得央行可以藉此达到扭转汇率走势，修正汇率错向调整变化等汇市干预所欲完成的目标。 A nonlinear microstructure model based on Westerhoff & Reitz (2003) is employed to discuss the influences of central bank intervention on heterogeneous agents’ behaviors in the yen/dollar exchange market. The effectiveness of two hypothetical channels proposed by Hung (1997) and Taylor (2004, 2005) respectively are tested. Empirical evidence suggests the extrapolative price movements resulted by chartist’s behavior are successfully depressed by the increased strength of contrarian trading which is induced by an official intervention operation. This result supports Hung’s noise trading channel hypothesis which asserts an effective intervention may convince the chartists of the coming break in the current trend. Our result also shows the fundamentalists’ confidence is enhanced by an intervention operation, and supports Taylor’s co-ordination channel hypothesis. The coordination channel proposes a coordinating role of central bank in or-ganizing fundamentalists’ behaviors and directing the market to its fundamental equilibrium.