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套息交易是对货币间利差投机的行为,是近年来国际外汇市场一种主要的交易手段。套息交易导致资本的无序流动,汇率价格的剧烈波动以及资产价格泡沫的膨胀和破灭。本文首先从利率平价理论分析套息交易产生的机制,采用多种方法对套息交易规模进行估算,研究套息交易产生的根源——包括全球经济周期和货币政策不同步、交易成本的下降、新兴经济体货币升值的预期以及现有国际货币体系的内在缺陷。本文对套息交易的决定因素进行实证检验,并对如何抑制套息交易的波动提出对策建议。
The hedging transaction is a speculation on the spread between the currencies and is a major trading method in the international foreign exchange market in recent years. Hedging led to disorderly capital flows, dramatic fluctuations in exchange-rate prices and the inflationary and dismal bubble in asset prices. In this paper, we first analyze the mechanism of interest-rate arbitrage from the perspective of interest rate parity. We use a variety of methods to estimate the size of hedging transactions, and study the causes of hedging transactions, including the global economic cycle and the non-synchronization of monetary policy, the decline of transaction costs, The expectation of currency appreciation in emerging economies and the inherent defects of the existing international monetary system. This article tests the determinants of hedging transactions and puts forward some countermeasures on how to curb the volatility of hedging transactions.