[经济学]国际金融市场价格与政策 Chapter07.pptVIP

INTERNATIONAL FINANCIAL MARKETS:Prices and Policies Chapter 7 Foreign Exchange Market Efficiency Learning Objectives After reading this chapter, students should 1. Know the definition of foreign exchange market efficiency and why market efficiency studies are often difficult to interpret. 2. Be familiar with several technical trading models that have been used to investigate the efficiency of the spot foreign exchange market. 3. Have an understanding of the empirical evidence on spot market efficiency. 4. Be familiar with several techniques that have been used to investigate the efficiency of the forward foreign exchange market. 5. Have an understanding of the empirical evidence on forward market efficiency. 6. Understand that foreign exchange speculation is always risky so that evidence of trading profits in the past does not mean that these profits were excessive relative to the risk incurred or that they will continue into the future. Overview As a practical matter, market efficiency is an important benchmark that has a strong bearing on policies in the private sector pertaining to risk management and forecasting, and policies in the public sector pertaining to central bank intervention. If empirical evidence shows that foreign exchange markets are not efficient, then unusual (meaning risk-adjusted) profit opportunities are being missed and private agents could formulate strategies to capture them. When foreign exchange markets are not efficient, exchange rate forecasts that outperform the forecasts implicit in present market prices can be formulated. A failure to find market efficiency is probably the most tantalizing possibility that private agents hope to encounter. Public policymakers, on the other hand, would interpret a lack of foreign exchange market efficiency as a market failure. A failure of markets to set prices at their equilibrium values implies that costs are being incurred somewhere by someone; for example, in the form of reduced output, gr