亚洲及太平洋地区外汇市场的发展和运作

Q1 Economics, Econometrics and Finance Financial Markets, Institutions and Instruments Pub Date : 2017-01-09 DOI:10.1111/fmii.12079
Richard M. Levich, Frank Packer
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引用次数: 8

摘要

过去15年来,亚太地区传统外汇产品和衍生品的全球外汇交易量迅速增长,增长速度超过其他地区。亚洲货币的离岸交易量也出现了异常增长,其中包括无本金交割远期(ndf)。这种规模的交易活动遍及许多国家和货币,这凸显了对运转良好的基础设施和卓越的风险管理流程的需求。虽然通过CLS Bank等系统可以降低绝大多数交易的结算风险,但亚太地区将受益于更多国家和货币启用CLS或在其他支付对支付(PVP)系统下进行交易。尽管没有全球金融危机期间那么明显,但该地区外汇市场在2013年的“缩减恐慌”(taper tantrum)期间经历了更大的动荡。在宣布缩减量化宽松后,高周转率货币往往贬值更多;不过,在成交量较低的货币中,波动性上升得更为剧烈。外汇市场是套利交易的主要场所,有崩盘的风险。尽管有一些证据表明,过去10年的羊群行为加剧了这种风险,但最近校准的指标并未显示,在2013年“缩减恐慌”(taper tantrum)之前,投资者格外涌入套利交易。与此同时,我们对套利交易拥挤程度的测量显示,随着时间的推移,这种情况发生了相当大的变化。向公众公布拥挤措施可能是明智的。
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Development and Functioning of FX Markets in Asia and the Pacific

Global foreign exchange (FX) trading volume in traditional FX products and derivatives in Asia and the Pacific has expanded rapidly over the last fifteen years, more so than in other regions. Asian currencies also have experienced exceptional growth in offshore turnover, including non-deliverable forwards (NDFs). Trading activity on this scale spread across many countries and currencies underscores the need for a well-functioning infrastructure and exceptional risk management processes. While settlement risks are mitigated for the vast majority of turnover through systems like CLS Bank, the Asia Pacific region would benefit by having more countries and currencies become CLS enabled or tradable under other Payment versus payment (PVP) systems. Though less pronounced than during the global financial crisis, FX markets in the region experienced added turbulence during the “taper tantrum” period of 2013. High turnover currencies tended to depreciate more after taper announcements; though volatility rose more sharply in currencies with low turnover. The FX market is a prominent venue for carry trades that are subject to crash risk. While there is some evidence of herding behavior exacerbating this risk over the past decade, the measures calibrated more recently do not suggest exceptional crowding into carry trades ahead of the “taper tantrum” in 2013. At the same time, our measures of crowdedness for the carry trade show considerable variation over time. Making crowdedness measures publicly available might be advisable.

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来源期刊
Financial Markets, Institutions and Instruments
Financial Markets, Institutions and Instruments Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
1.80
自引率
0.00%
发文量
17
期刊介绍: Financial Markets, Institutions and Instruments bridges the gap between the academic and professional finance communities. With contributions from leading academics, as well as practitioners from organizations such as the SEC and the Federal Reserve, the journal is equally relevant to both groups. Each issue is devoted to a single topic, which is examined in depth, and a special fifth issue is published annually highlighting the most significant developments in money and banking, derivative securities, corporate finance, and fixed-income securities.
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