一个动态的汇率模型  

作　　者：张良森 李贤平[2] 

机构地区：[1]山东证券有限责任公司 [2]复旦大学管理学院

出　　处：《统计研究》1999年第12期28-30,共3页Statistical Research

基　　金：国家教委博士点基金

摘　　要：Aiming at the feature of state treasury bonds price that it mainly depends on its interest rate and maturity date,this article sutdies the efficiency of bonds market from the reaction of its price to the cut down of interest rate by central bank with the event study method.And indicates that the current market is not a semi strong form of efficient market,although its efficiency is being improved continuously.Aiming at the feature of state treasury bonds price that it mainly depends on its interest rate and maturity date,this article sutdies the efficiency of bonds market from the reaction of its price to the cut down of interest rate by central bank with the event study method.And indicates that the current market is not a semi strong form of efficient market,although its efficiency is being improved continuously.

关 键 词：汇率 动态结构模型 鞅模型 汇率模型 

分 类 号：F820.4[经济管理—财政学]