现代汇率理论体系及其评价

3,,,,,,3:200433:021-65653828:[e-mail],(Eiji,Ogawa),,,:,,,(FloodandTaylor,1996),,,,,,,,(puzzles),,,,,,,:,,,22130023©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,(,),(ObstfeldandRogoff,2000)(newmacroeconomics),,,,,,,,(Lyons,2001),:(),(),,,,,,,,,,,,,,1,1()(),,,,,,,2ö3,(Eiji,2002),,,,(),,,,,32130023©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,?,:(1);(2);(3);(4)()(thevolume2amplificationeffects),,,(),,,,,:,;,,,:,,,,,,,,,,,,,1000(),,()1ö10,,,,1ö10,,,900ö(1-0.9)=9000,10,?,,,(1),()(forwardbias):(),,42130023,(homebias),,,ObstfeldRogoff(2000),,,,Drazen(2000)©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,,?1:,,2,,,:,,(2),,,,,,(),,:CAPM(),Lucas(),,:,,,,,,,,,,,,,,,,,,,,(),,,,,,,,,52130023,,(bandwagoneffect)©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,,,,,(),,,,,()(determinationpuzzle),MeeseRogoff(MeeseandRogoff,1983):;,,(1),(),,():,ObstfeldandRogoff(2000),2,,,,,,,,,,,,,,,,,,,,,,,(orderflow)(spread),(,),,,(Lyons,2001)3()(excessvolatility),,(),?62130023©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,(4),,,,,,,,,,,,(),,,,,,,,,,,,,4,,,:,5%,,,,,:,,,,,,,,,,,,,,(5),,,,,,()(2),,,72130023©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,(,,),52()B1B2R2DM0.52(1.5)2.10(10.5)0.64Yen2.48(2.7)2.90(6.3)0.45$pt=B0+B1$(it-i3t)+B2Xt+Gt:$p,$(i-i3),X,DM,Yen,t,R2:EvansLyons(2002),,,,,,,,,(),,,(),,,,,,,,:Drazen,Allan(2000):PoliticalEconomyinMacroeconomics,PrincetonUniversityPress.Evans,M.andR.Lyons(2002):OrderFlowandExchange2rateDynamics,JournalofPoliticalEconomy,110,pp.170-180.Eiji,Ogawa(2002):EconomicInterdependenceandInternationalCoordinationInEastAsia:InExchangeRateRegimesforAsia,Mimeo.Flood,R.andM.Taylor(1996):ExchangeRateEconomics:What’sWrongwiththeConventionalMacroApproach?inFrankel,J.,G.GalliandA.Giovannini,(eds.),TheMicrostructureofForeignExchangeMarkets,Chicago:TheUniversityofChicagoPress,pp.261-294.Lyons,R.(2001):TheMicrostructureApproachtoExchangeRates,MITPress.Meese,R.andK.Rogoff(1983):EmpiricalExchangeRateModelsoftheSeventies,JournalofInternationalEconomics,14:3-24.Obstfeld,M.andK.Rogoff(2000):TheSixMajorPuzzlesinInternationalMacroeconomics:IsThereaCommonCause?,inB.BernankeandK.Rogoff(eds.),NBERMacroeconomicsAnnual,CambridgeMA.(:20029:)82130023©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.