文章基本信息

标题：Bulls, Bears and Excess Volatility: can currency intervention help?
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作者：Corrado, L. ; Miller, M. ; Zhang, L. 等
期刊名称：Cambridge Working Papers in Economics / Faculty of Economics ; Department of Applied Economics
出版年度：2007
卷号：1
出版社：Cambridge University
摘要：Asset mis-pricing may reflect investor psychology, with excess volatility arising from switches of sentiment. For a floating exchange rate where fundamentals follow a random walk, we show that excess volatility can be generated by the repeated entry and exit of currency `bulls' and `bears' with switches driven by `draw-down' trading rules. We argue that non-sterilised intervention - in support of `monitoring band' - can reduce excess volatility by coordinating beliefs in line with policy. Strategic complementarity in the foreign exchange market suggests that sterilised intervention may also play a coordinating role.
关键词：Monitoring Rules, Monitoring Band, Bear and Bull Traders, Excess Volatility, Central Bank Intervention.