特殊外汇市场

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2017-06-03 DOI:10.2139/ssrn.2979978

Louis Raffestin

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引用次数: 0

摘要

本文提出了一种外汇市场模型，其中包括两类投资者:现金拮据的套息交易者和短线有限理性的技术交易者。我们表明，这两个代理之间的相互作用解释了几个记录良好的汇率难题。特别是，该模型为高利率国家的货币往往会崩溃这一事实提供了理论基础，有时没有明确的基本面触发因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Special FX Market

We present a model of the foreign exchange market with 2 types of investors: cash-constrained carry traders, and short-sighed boundedly rational technical traders. We show that the interactions between both agents explain several of the well-documented puzzles of the exchange rate. In particular, the model provides a theoretical base for the fact that currencies of high interest rate countries tend to crash, sometimes without a clear fundamental trigger.

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Econometric Modeling: International Financial Markets - Foreign Exchange eJournal

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