其他摘要：A nonlinear microstructure model based on Westerhoff & Reitz (2003) is employed to discuss the influences of central bank intervention on heterogeneous agents’ behaviors in the yen/dollar exchange market. The effectiveness of two hypothetical channels proposed by Hung (1997) and Taylor (2004, 2005) respectively are tested. Empirical evidence suggests the extrapolative price movements resulted by chartist’s behavior are successfully depressed by the increased strength of contrarian trading which is induced by an official intervention operation. This result supports Hung’s noise trading channel hypothesis which asserts an effective intervention may convince the chartists of the coming break in the current trend. Our result also shows the fundamentalists’ confidence is enhanced by an intervention operation, and supports Taylor’s co-ordination channel hypothesis. The coordination channel proposes a coordinating role of central bank in or-ganizing fundamentalists’ behaviors and directing the market to its fundamental equilibrium.
关键词：非线性;反向操作策略;异质参与者;中央银行干预;外汇市场
其他关键词：Nonlinear; Contrarian Strategy; Heterogeneous Agents; Central Bank Interventions; Foreign Exchange Market
