汇率形成的微观分析（Micro analysis of exchange rate formation）.docVIP

汇率形成的微观分析（Micro analysis of exchange rate formation） Micro analysis of exchange rate formation Xi Junyang Ceng Zhenyu Guangdong Social Sciences, 2005, issue first Abstract: Based on the macroeconomic variables as determinants of the traditional exchange rate model and short-term volatility cannot explain the exchange rate, the reason is that the model implied investors homogeneity, public information, trading system independent assumption does not actually meet. In recent years, the new analysis method of exchange rate micro market put forward the theory of information decentralization. On this basis, the mechanism of information integration into the spot exchange rate under incomplete information is established. Key words: public information; private information; market microstructure; instruction flow I. Introduction After the collapse of Bretton Woods system, the international monetary system has entered the era of floating exchange rates, the mainstream theory of exchange rate, such as the purchasing power parity theory to explain the exchange rate of the sharp fluctuation, so the academic circles attempt to seek new answers. In the middle of 1970s, asset market theory came into being gradually. However, the asset market theory, such as the flexible price monetary model, the sticky price monetary model and the portfolio model while the exchange rate fluctuations on the 1920 and 1930s and mid 1970s has good explanatory power, but not to the sample period extended to empirical research in 1978 after the support. By 1990s, Obstfeld and Rogoff (1995) proposed the dynamic exchange rate model, which was regarded as a pioneering research in the field of open macroeconomics. In the dynamic exchange rate model of Obstfeld and Rogoff, the determinants of exchange rate are still macroeconomic variables, such as relative money supply and relative consumption level. However, Bergin (2001) shows that the empirical test on the exchange rate of the sample with the dynamic model