摘要
汇率分布具有厚尾特征。这类问题往往很难用正态分布去描述。正是由于稳态分布能够很好地处理具有厚尾特征的分布 ,因此在金融领域中得到越来越广泛的应用。本文选取 15个主要币种对美元的汇率 ,在戴国强等 (1999)研究的基础上 ,进一步应用稳态分布实证研究汇率波动的特性。本文的研究表明 ,15种主要货币对美元的每日汇率所构成的时间序列均呈现狭峰、厚尾的特征 ,特征指数α <2 ,具有稳态特征。偏斜度参数 β指出汇率分布有偏 ,利用各种汇率获取投机利润的可能性不同。最后就中央银行对外汇市场的干预问题进行了分析 ,提出了相应的政策建议。
The distributions of exchange rate volatility have thick tails.Such data sets are poorly described by a Gaussian model, but possibly can be described by a stable distribution. As they can capture the skewness and thick tails,stable distributions have now received great attention in finance.This paper deals with the stable properties of exchange rate volatility empirically on the basis of Dai et al(1999). The results show that the distributions of the daily exchange rate time series of 15 main currencies against U.S. dollar are lepto kortursis and have thick tails. The characteristic exponent α is less than 2. The skewness parameter β indicates different profits from different exchange rates,Policy implication is also discussed .
出处
《财经研究》
CSSCI
北大核心
2000年第6期3-9,共7页
Journal of Finance and Economics
基金
上海市哲学社会科学规划 !(99BBX0 0 2 )
上海财经大学 2 11科研基金
