لحظات عالی و رفتار نرخ ارز
ترجمه نشده

لحظات عالی و رفتار نرخ ارز

عنوان فارسی مقاله: رفتار نرخ ارز و لحظات عالی
عنوان انگلیسی مقاله: Higher Moments and Exchange Rate Behavior
مجله/کنفرانس: بررسی مالی - The Financial Review
رشته های تحصیلی مرتبط: اقتصاد
گرایش های تحصیلی مرتبط: اقتصاد مالی، اقتصاد پولی
کلمات کلیدی فارسی: ارز خارجی، فرکانس بالا، مدل سازی، لحظه های عالی، استراتژی معاملات
کلمات کلیدی انگلیسی: foreign exchange، high frequency، modeling، higher moments، trading strategy
نوع نگارش مقاله: مقاله پژوهشی (Research Article)
شناسه دیجیتال (DOI): https://doi.org/10.1111/fire.12171
دانشگاه: Department of Treasury and Finance, Victoria, Australia
صفحات مقاله انگلیسی: 29
ناشر: وایلی - Wiley
نوع ارائه مقاله: ژورنال
نوع مقاله: ISI
سال انتشار مقاله: 2019
ایمپکت فاکتور: 0/761 در سال 2018
شاخص H_index: 39 در سال 2019
شاخص SJR: 0/567 در سال 2018
شناسه ISSN: 1540-6288
شاخص Quartile (چارک): Q2 در سال 2018
فرمت مقاله انگلیسی: PDF
وضعیت ترجمه: ترجمه نشده است
قیمت مقاله انگلیسی: رایگان
آیا این مقاله بیس است: بله
آیا این مقاله مدل مفهومی دارد: ندارد
آیا این مقاله پرسشنامه دارد: ندارد
آیا این مقاله متغیر دارد: ندارد
کد محصول: E12757
رفرنس: دارای رفرنس در داخل متن و انتهای مقاله
فهرست مطالب (انگلیسی)

Abstract

1- Introduction

2- Hypotheses development

3- Estimation approach

4- Data and empirical findings

5- Concluding remarks

References

بخشی از مقاله (انگلیسی)

Abstract

This paper uses 15-minute exchange rate returns data for the six most liquid currencies (i.e., the Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc) vis-a-vis the United States dollar to examine whether a GARCH model augmented with higher ` moments (HM-GARCH) performs better than a traditional GARCH (TG) model. Two findings are unraveled. First, the inclusion of odd/even moments in modeling the return/variance improves the statistical performance of the HM-GARCH model. Second, trading strategies that extract buy and sell trading signals based on exchange rate forecasts from HM-GARCH models are more profitable than those that depend on TG models.

Introduction

In this paper, we examine the role of high-order moments in influencing exchange rate behavior. We are not the first to explore the role of higher moments in understanding exchange rate behavior. There is a literature on this; see Aggarwal (1990), Harvey and Siddique (1999), and Mittnik and Paolella (2000). These studies show that higher moments improve the statistical performance of the models. However, these studies only consider up to the fourth moment. High-order moments in excess of the fourth moment have not been considered in terms of how they influence exchange rate behavior.1 There are several economic channels/mechanisms through which higher moments can impact exchange rate behavior. The first channel of effect is “liquidity spirals” that results from the theoretical model of Brunnermeier and Pedersen (2009). The basic idea of their model is that invested securities contain positive average returns and a negative skewness. They explain the source of this positive returns and negative skewness. Positive returns owe to the premium resulting from speculators’ provision of liquidity while negative skewness is because investors make heavy losses and relatively mild gains from negative shocks (such as financial constraints) and positive shocks (such as liquidity), respectively. In other words, the impact of shocks is asymmetric, skewed heavily in favor of negative shocks. More specifically, their work implies that funding constraints determine market liquidity.