大額交易者、市場信心與貨幣危機

外匯市場交易者的協調問題一直是多數第二代及第三代貨幣危機模型的中心問題。本文目的在於探索大額交易者之所以能夠操弄其非比尋常的影響力，其可能的機制何在？本文構建一個包含單一大額交易者及無數小額交易者的分析模型，模型中所有交易者都獨立決定其外匯交易部位，而且大額交易者會將其交易部位向市場公開。本文分確定與不確定兩種情況分析，在確定情況下，本研究發現賽局均衡決定於大額交易者的交易部位，若大額交易者的交易部位落在特定區段，將可能產生堅守抑或棄守匯率的多重均衡解，全賴左右小額交易者主觀信心的陽黑子變數決定；在不確定情況下，貨幣危機發生的客觀機率隨著大額交易者的買超擴大而呈超比例的攀升，因此大額交易者的存在提高了某些國家遭受外匯投機性狙擊的機率。最後，本文透過耐久測試證明公共資訊的精確度愈小愈能延緩匯率體制崩解的大限。

關鍵字

貨幣危機；投機性狙擊；自我實現預期；多重均衡解；直覺準則；超比例影響力；安慰劑效果

並列摘要

The coordination problem among traders is at heart of most second and third generation models of currency crises. The main purpose of the paper is in search of the possible mechanisms that may be at play in which a large trader may excise a disproportionate influence. We build a model of currency crises with endogenous beliefs where a single large trader and a continuum of small traders independently decide their trading positions. The trading position of the large trader is disclosed publicly to the market and interacts with small traders. The problem is analyzed on certainty and uncertainty grounds, respectively. In the certainty case, we find that when the long position of the large trader is large enough, a currency crisis will prevail, but intermediate levels of the long position will lead to multiple equilibria which are determined by sunspot variables. In the uncertainty case, the incidence of a currency crisis disproportionately increases as the long position of large trader rises. Therefore, the large trader increases the vulnerability of a country to speculative attacks in the foreign exchange market. Lastly, the paper closes with torture tests which show that the incidence of a currency crisis increases in the precision of public in formation.

並列關鍵字

Currency crises ； Speculative attacks ； Self-fulfilling prophecy ； Multiple equilibria ； Intuitive criteria ； Disproportionate influence ； Placebo effect

參考文獻

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大額交易者、市場信心與貨幣危機

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