Essays on intervention, speculation and sentiment in the foreign exchange market

HG Finance

Mao, Xuxin ; MacDonald, Ronald

University:University of Glasgow

Department:Adam Smith Business School

关键词: Cointegrated VAR, Currency Intervention, Forward Rate Bias, Market Microstructure, Reaction Function, Risk Premium, Sentiment Measures, Speculation, Transmission Channel, Uncovered Interest Parity;   

Others  :  http://theses.gla.ac.uk/6674/1/2015MaoPhD.pdf

来源: University of Glasgow

【 摘 要 】

The purpose of this thesis is to analyse the interaction of currency intervention, speculation and sentiment, and their influence on the exchange rate dynamics across the developed and developing countries.This thesis tackles the three factors attributable to the unsolved issues in the field, i.e., the lack of proper data set or proxies, theoretical foundation, and structural models. After reviewing the related literature, microstructure frameworks are built with theoretical set-ups, e.g., the international parities, the forward rate bias and central bank credibility. Then the transmission channels of currency interventions, the reaction functions of central banks,and the impacts of the speculators activity and psychology are examined with cointegrated VAR methodology. In doing so, this thesis offers thorough structural and identified analyses of developed and developing country currencies in a joint theoretical framework.Therefore, this thesis fills some methodological, theoretical and empirical gaps in the field of international finance. Furthermore, it provides not only suggestions for future empirical and theoretical research but also policy implications for central banks across developed and developing countries.