外汇市场跳跃风险、流动性和市场效率——基于外汇市场微观结构的视角  

Jump Risk,Liquidity and Efficiency in Foreign Exchange Market:A Study Based on the Perspective of the Market Microstructure

作　　者：刘精山 刘笑瑜 尚宇轩 LIU Jing-shan;LIU Xiao-yu;SHANG Yu-xuan(Post-Doctoral Research Station,Nankai University,Tianjin 300350,China;Post-Doctoral Research Station,Bohai Securities Co.,Ltd.,Shenzhen 518038,China;First Capital Securities Co.,Ltd.;School of Economics,Nankai University,Tianjin 300071,China)

机构地区：[1]南开大学金融学院博士后科研流动站,天津300350 [2]渤海证券博士后工作站,天津300047 [3]第一创业证券,广东深圳518038 [4]南开大学经济学院财金所,天津300071

出　　处：《现代财经（天津财经大学学报）》2020年第11期21-36,共16页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基　　金：国家自然科学基金青年项目(71703111)。

摘　　要：本文利用2005年8月至2018年12月样本测算了12个货币对汇率的跳跃风险、流动性水平、效率水平和外汇市场压力,并进一步利用面板回归的方法研究了外汇市场的流动性和效率及其在不同压力区制下对外汇市场跳跃风险的影响。结果显示,外汇市场存在显著的跳跃特征,而且外汇市场流动性水平和效率水平与跳跃行为具有负相关关系,流动性水平越高,发生跳跃风险的可能性越低,反之则反。在综合考虑外汇市场压力之后,结果发现:在贬值压力阶段,外汇市场压力显著强化了流动性和效率与跳跃水平的负相关关系。因此,监管层在有效缓解外部冲击的同时,更应该警惕非信息冲击型的极端跳跃的现象,从而有效识别和防范外汇市场的风险和不稳定行为。This paper uses the sample from August of 2005 to December of 2018 to estimate the jump risk,liquidity and efficiency of twelve currency pairs.We empirically study the impact of the liquidity and efficiency on the jump risk of the foreign exchange market considering the exchange market pressure.The results show that the foreign exchange market has significant jumping characteristics,and the level of liquidity and efficiency of the foreign exchange market has a negative correlation with the jump risk.The higher the level of liquidity,the lower the probability of jumping risk,and vice versa.It was also found that during the depreciation pressure period,the foreign exchange market pressure significantly enhanced the negative correlation between liquidity and efficiency and the level of jump,while the result was not significant during the appreciation pressure stage.Therefore,while effectively mitigating external shocks,the regulatory layer should be more vigilant against the extreme jump phenomenon of non-information impact and effectively prevents the instability of the foreign exchange market.

关 键 词：跳跃风险 流动性 效率 外汇市场压力 

分 类 号：F820.4[经济管理—财政学]