Heterogeneous Agents Model and the Effectiveness of Official Intervention in the Foreign Exchange Market: Evidence from Japan
作者: 高崇玮 ：;
Abstract: 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.
文章引用: 高崇玮 (2011) 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。 金融， 1， 7-12. doi: 10.12677/fin.2011.11002
 Mussa, Michael. The Role of Official Intervention. New York: Group of Thirty, 1981.
 L. Sarno, M. P. Taylor. The Economics of Exchange Rates. Cambridge and New York: Cambridge University Press, 2003.
 J. H. Hung. Intervention strategies and exchange rate volatility: A noise trading perspective. Journal of International Money and Finance, 1997, 16(5): 779-793.
 L. Sarno, M. P. Taylor. Official Intervention in the Foreign Exchange Market: Is it effective and, if so, how does it work?. Journal of Economic Literature Papers, 2001, 39(3): 839-868.
 M. P. Taylor. Exchange Rate Behavior under Alternative Exchange Rate Regimes. In: Kenen, P. (Ed.), Understanding Interdependence: The Macroeconomics of the Open Economy. Princeton University Press, Princeton, 1994.
 M. P. Taylor. The economics of exchange rates. Journal of Economic Literature, 1995, 33(1): 13-47.
 M. P. Taylor. Is official exchange rate intervention effective?. Economica, 2004, 71(281): 1-11.
 M. P. Taylor. Official foreign exchange intervention as a coordinating Signal in the Dollar-Yen Market. Pacific Economic Review, 2005, 10(1): 73-82.
 S. Reitz, M. P. Taylor. The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis. European Economic Review, 2008, 52(1): 55-76.
 J. Bilson. Technical currency trading. In: L. R. Thomas, (Eds). The Currency-Hedging Debate. International Financing Review Publishing, London, 1990: 257-275.
 C. Neely. Technical analysis in the foreign exchange market: A
 layman’s guide. Federal Reserve Bank of St. Louis Review, 1997, 79(5): 23-38.
 S. Larson, J. Madura. Overreaction and underreaction in the foreign exchange market. Global Finance Journal, 2001, 12(2): 153-177.
 C. Eun, S. Sabherwal. Forecasting exchange rates: Do banks know better?. Global Finance Journal, 2002, 13(2): 195-215.
 G. Parikakis, T. Syriopoulos. Contrarian strategy and overreaction in foreign exchange markets. Research in International Business and Finance, 2008, 22(3): 319-324.
 F. H. Westerhoff, S. Reitz. Nonlinearities and cyclical behavior: the role of chartists and fundamentalists. Studies in Nonlinear Dynamics & Econometrics, 2003, 7(4): article 3.
 K. M. Dominguez, J. A. Frankel. Does Foreign Exchange Intervention Work? Washington, D. C: Institute for International Economics, 1993(a).
 K. M. Dominguez, Jeffrey A. Frankel. Foreign Exchange Intervention: An Empirical Assessment. Frankel, MIT Press, 1993: 327-345.
 K. M. Dominguez, Jeffrey A. Frankel. Does foreign exchange intervention matter?. The Portfolio Effect. American Economic Review, 1993, 83(5): 1356-1369.
 T. Ito. Is Foreign Exchange Intervention Effective? The Japanese Experiences in the 1990s. Working paper 8914, NBER, 2002.
 T. Ito. Myths and reality of foreign exchange interventions: An application to Japan. International Journal of Finance and Economics, 2007, 12(2): 133-154.
 K. Dominguez, F. Panthaki. The influence of actual and unrequited Interventions. International Journal of Finance and Economics, 2007, 12(2): 171-200.
 J. Y. Wan, C. W. Kao. Effects of Japanese intervention on yen/dollar exchange rate volatility: A conditional jump dynamics approach. Applied Economics Letters, 2010, 17(4): 363-373.
 P. Howitt. Coordination failures. In: B. Snowdon, H. R. Vane, (Eds.). An Encyclopedia of Macroeconomics. Edward Elgar, Cheltenham, 2003: 140-144.
 N. Jegadeesh, S. Titman. Return to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 1993, 48(1): 65-91.
 N. Jegadeesh, S. Titman. Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance, 2001, 56(2): 699-720.
 W. F. W. DeBondt, R. H. Thaler. Does the stock market overreact?. Journal of Finance, 1985, 40(3): 793-905.
 W. F. W. DeBondt, R. H. Thaler. Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 1987, 42(3): 557-581.
 B. Ahmet, C. Nusret. Do markets overreact? International evidence. Journal of Banking and Finance, 1999, 23(7): 1121-1144.
 G. K. Rouwenhorst. International momentum strategies. Journal of Finance, 1998, 53(1): 267-284.
 M. Grinblatt, M. Keloharju. The investment behavior and performance of various investor types. Journal of Financial Economics, 2000, 55(1): 43-67.
 K. L. Fisher, M. Statman. Investor sentiment and stock returns. Financial Analysts Journal, 2000, 56(2): 16-23.
 S. J. Larson, J. Madura. What drives stock price behavior following extreme one-day returns. Journal of Financial Research, 2003, 26(1): 113-127.