{"title":"Stochastic Exchange Rate Dynamics, Intervention Dynamics and the Market Efficiency Hypothesis","authors":"","doi":"10.1007/s10614-024-10581-w","DOIUrl":null,"url":null,"abstract":"<h3>Abstract</h3> <p>Since currency price fluctuations hinder economic activity, exchange rate dynamics have an effect on national economies. To have a proper exchange rate policy in place, these dynamics are essential for nations with a trade economy. This study presents and examines a distinctive stochastic dynamics exchange rate model (ESI) in order to address the challenges associated with predicting the behavior of participants in some complex economic systems, which might lead to the system’s collapse. To address the issue of ESI stability by central bank interventions (managed currency) in a specified target value, a target value technique is also provided and tested. Last but not least, we examine the noise traders’ role as a major source of market uncertainty as we look at the market efficiency hypothesis for the foreign exchange market (FX).</p>","PeriodicalId":50647,"journal":{"name":"Computational Economics","volume":"121 1","pages":""},"PeriodicalIF":1.9000,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Computational Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1007/s10614-024-10581-w","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
Since currency price fluctuations hinder economic activity, exchange rate dynamics have an effect on national economies. To have a proper exchange rate policy in place, these dynamics are essential for nations with a trade economy. This study presents and examines a distinctive stochastic dynamics exchange rate model (ESI) in order to address the challenges associated with predicting the behavior of participants in some complex economic systems, which might lead to the system’s collapse. To address the issue of ESI stability by central bank interventions (managed currency) in a specified target value, a target value technique is also provided and tested. Last but not least, we examine the noise traders’ role as a major source of market uncertainty as we look at the market efficiency hypothesis for the foreign exchange market (FX).
摘要 由于货币价格波动会阻碍经济活动，因此汇率动态会对国民经济产生影响。为了制定适当的汇率政策，这些动态变化对贸易经济国家至关重要。本研究提出并研究了一种独特的随机动态汇率模型（ESI），以应对预测某些复杂经济系统参与者行为可能导致系统崩溃的挑战。为了解决通过中央银行干预（管理货币）实现指定目标值的 ESI 稳定性问题，我们还提供并测试了目标值技术。最后但并非最不重要的一点是，我们在研究外汇市场（FX）的市场效率假说时，将噪音交易者作为市场不确定性的主要来源进行了研究。
期刊介绍：
Computational Economics, the official journal of the Society for Computational Economics, presents new research in a rapidly growing multidisciplinary field that uses advanced computing capabilities to understand and solve complex problems from all branches in economics. The topics of Computational Economics include computational methods in econometrics like filtering, bayesian and non-parametric approaches, markov processes and monte carlo simulation; agent based methods, machine learning, evolutionary algorithms, (neural) network modeling; computational aspects of dynamic systems, optimization, optimal control, games, equilibrium modeling; hardware and software developments, modeling languages, interfaces, symbolic processing, distributed and parallel processing
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