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利差交易、异质预期与汇率微观决定
Carry trade,heterogeneous expectation and micro exchange rate determination
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中文关键词  利差交易; 异质预期; 基本面均衡; 非基本面均衡; 利差
英文关键词  carry trade; heterogeneous expectation; fundamental equilibria; non-fundamental equilibria; interest rate differential
基金项目  国家自然科学基金资助项目( 71320107002)
学科分类代码  
作者单位E-mail
李小平 上海师范大学商学院 lxpcr@shnu.edu.cn 
吴冲锋 上海交通大学安泰经济与管理学院  
中文摘要
      通过构建包含利差交易者、基本面交易者和技术交易者的汇率决定模型,在异质交易者行为框架下研究了汇率的多重异质均衡性质和稳定条件.理论研究表明,外汇市场存在三种基本面均衡和四种非基本面均衡,利差交易者行为导致外汇市场出现非基本面均衡.进而不同均衡所对应的稳定条件取决于基本面的回归系数、技术交易者的外推系数及汇率的折现因子之间的关系.模拟仿真表明,两国利差是决定利差交易者行为的重要因素,利差交易者行为进一步导致了市场汇率偏离基本面水平.
英文摘要
      This paper models the determination exchange rates considering the fundamentalists,chartists and carry traders. The heterogeneous equilibrium properties and stability conditions are investigated within the framework of the traders’heterogeneity behavior. The results show that there are seven types of equilibria,including three fundamental equilibria and four non-fundamental equilibria. Besides,non-fundamental equilibria are caused by carry traders. The stability conditions depend on the mean-reverted coefficients of fundamentalists, the extrapolation coefficients of chartists and the discount factors of exchange rates. Finally,the simulation shows that carry traders’activities are largely affected by the interest rate differential between the two currencies and cause exchange rates to deviate from the fundamental equilibrium.
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