摘要
外汇市场有效性假设EMH的线性范式与现实市场状况并不相符。实证分析表明,外汇汇率变化不服从正态分布,而是服从分形分布;运用R/S方法对汇率变化进行分形分析后得出,外汇汇率变化不是一个随机游走的过程,而是一个有偏的随机过程,汇率价格之间不是相互独立的,而是具有状态持续性的,汇率价格的变动具有周期性。中央银行在干预外汇市场时,应考虑外汇汇率变化的“长期记忆”效应并采取相应措施,同时对微观结构主体在汇率波动中的作用加以重视。
The linear paradigm of efficient foreign exchange market hypothesis(EMH)does not conform to market realities.Em-pirical analysis shows that changes in exchange rates do not follow norma l distribution but fractal distribu tion;fractal R /S analysis indicates that changes in exchange rates are not a random -walk ing process,but a biased random proc ess,that exchange prices are not independent of each other,but continuous in state,and that changes in exchange price s are cyclical.When intervening in foreign exchange market,central bank must take account of the'long -term memoryeffect of changes in exchange rate an d take corresponding countermeasur es,and put emphasis on the role of mic ro -entities in the fluctuation of exchange rates.
出处
《贵州财经学院学报》
2002年第5期37-40,共4页
Journal of Guizhou College of Finance and Economics
关键词
外汇市场
有效市场假设
分形分布
分形市场假说
汇率
中央银行
foreign exchange market
efficient market hypothesis(EMH)
fractal distribution
fractal market hypothesis
