本文利用日圓/美元匯率之逐筆交易(tick-by-tick)資料,探討外匯市場中買價(bid quote)與賣價(ask quote)之關聯,發現交易訊息對於買/賣報價調整的影響並不對稱,因此若使用報價中點為衡量交易資訊性的價格變數,只能代表在調整過後整個報價趨勢是往上或往下,無法充分反映所有的市場資訊,而比較適當的分析方法為允許買價與賣價為兩個不同的隨機過程之雙變量(bivariate)模型。估計結果顯示,買價與賣價皆為不恆定的Ⅰ(1)數列,但兩者之間存在一共整合(cointegration)關係,買價與賣價會逐期朝向其長期的均衡價差調整。利用買價變動與賣價變動的誤差修正模型,我們不只可以了解價差扮演著誤差修正項的角色,也發現買價變動與賣價變動之間具有雙向的Granger因果關係。
This paper uses the tick data of Japanese yen-Dollar exchange rate to study the dynamic interrelation of bid and ask quotes in the currency market. We study the dynamics of bid and ask revisions in the error correction model (ECM). The estimation results indicate a long-term equilibrium spread and a cointegrating relation between the bid and ask quotes. We also utilize a bivariate VAR model to analyze the dynamic interaction and feedback between the quote frequency and spread.