外汇市场的内生波动

IF 1.8 3区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Econometrics Pub Date : 2023-03-24 DOI:10.1093/jjfinec/nbad008

Leonardo Bargigli, G. Cifarelli

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引用次数: 0

摘要

我们研究了高频金融数据中异方差的两个来源，并通过马尔可夫切换(MS)结构VAR模型估计了它们对总体波动率的贡献。我们通过假设结构误差遵循GARCH-DCC过程来实现所有系数的识别。利用2016年欧元/美元交易商间市场的交易数据，我们首先发现了三种波动机制。然后我们表明，波动性的两个来源对冲击的传递都很重要，信息主要是通过需求冲击传递给市场的。这表明，在欧元/美元市场上，一些流动性接受者(lt)比流动性提供者和那些遵循反馈策略的lt都更了解情况。

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Endogenous Volatility in the Foreign Exchange Market

We study two sources of heteroscedasticity in high-frequency financial data and estimate their contribution to overall volatility by means of a Markov switching (MS) structural VAR model. We achieve identification for all coefficients by assuming that the structural errors follow a GARCH-DCC process. Using transaction data of the EUR/USD interdealer market in 2016, we first detect three regimesof volatility. Then we show that both sources of volatility matter for the transmission of shocks, and that information is channeled to the market mostly through demand shocks. This suggests that, on the EUR/USD market, some liquidity takers (LTs) are better informed than both liquidity providers and those LTs who follow a feedback strategy.

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来源期刊

Journal of Financial Econometrics Multiple-

CiteScore

5.60

自引率

8.00%

发文量

期刊介绍： "The Journal of Financial Econometrics is well situated to become the premier journal in its field. It has started with an excellent first year and I expect many more."