{"title":"特殊外汇市场","authors":"Louis Raffestin","doi":"10.2139/ssrn.2979978","DOIUrl":null,"url":null,"abstract":"We present a model of the foreign exchange market with 2 types of investors: cash-constrained carry traders, and short-sighed boundedly rational technical traders. We show that the interactions between both agents explain several of the well-documented puzzles of the exchange rate. In particular, the model provides a theoretical base for the fact that currencies of high interest rate countries tend to crash, sometimes without a clear fundamental trigger.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"34 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Special FX Market\",\"authors\":\"Louis Raffestin\",\"doi\":\"10.2139/ssrn.2979978\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We present a model of the foreign exchange market with 2 types of investors: cash-constrained carry traders, and short-sighed boundedly rational technical traders. We show that the interactions between both agents explain several of the well-documented puzzles of the exchange rate. In particular, the model provides a theoretical base for the fact that currencies of high interest rate countries tend to crash, sometimes without a clear fundamental trigger.\",\"PeriodicalId\":413816,\"journal\":{\"name\":\"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal\",\"volume\":\"34 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-06-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2979978\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2979978","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We present a model of the foreign exchange market with 2 types of investors: cash-constrained carry traders, and short-sighed boundedly rational technical traders. We show that the interactions between both agents explain several of the well-documented puzzles of the exchange rate. In particular, the model provides a theoretical base for the fact that currencies of high interest rate countries tend to crash, sometimes without a clear fundamental trigger.
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