Przepływ zleceń a kurs walutowy - badanie mikrostruktury międzybankowego kasowego rynku złotego

• Autorzy: Katarzyna Bień

Warianty tytułu

Order Flow and Exchange Rate Dynamics - Market Microstructure Study of the FX Spot EUR/PLN Market

• Języki publikacji: PL

Abstrakty

W artykule przedstawiono wyniki empirycznego badania mikrostruktury międzybankowego kasowego rynku złotego na podstawie danych z elektronicznego systemu Reuters Dealing 3000 Spot Matching, automatycznie kojarzącego oferty kupna i sprzedaży. Badanie przeprowadzono w odniesieniu do pary walutowej EUR/PLN w II połowie 2004 r. oraz w 2007 r. Udokumentowano istnienie istotnego wpływu przepływu zleceń (ang. order flow), czyli nadwyżki netto wartości transakcji zakupu waluty bazowej nad wartością transakcji sprzedaży, na zmiany kursu złotego. Pokazano również, że reakcja kursu na zakup netto (ang. net buy) euro była różna w 2004 i 2007 r., co wynikało przede wszystkim z różnej wielkości rynku złotego w tych okresach. W badaniu wykazano, że oddziaływanie przepływu zleceń na kurs złotego zależy od chwilowej płynności rynku, aproksymowanej porą dnia i wielkością spreadu bid-ask. W artykule zaproponowano również wykorzystanie specyfikacji Integer Count Hurdle jako modelu opisującego kształtowanie się samego przepływu zleceń. Wykazano, że specyfikacja ta dobrze nadaje się do opisu dyskretnych wartości oraz dynamicznych własności zmiennej. (abstrakt oryginalny)

EN

The paper presents the market microstructure study of the forex EUR/PLN spot market based on the trade and quote data from the Reuters Spot Matching System covering two periods: second part of the year 2004 and the whole year 2007. We proved the significant positive impact of order flow on the changes of the exchange rate, as well as a different FX rate reaction to the net buy of euro in 2004 and in 2007, which resulted from the different size of the zloty market in those periods. Our results show that the impact of order flow on the FX rate depends highly on the liquidity of the market (proxied by the 'time of day' and the deseasonalised bid-ask spread). As a flexible tool for the order flow description, the integer count hurdle model was used. We evidenced that such a specification well accounts for the discrete values of the process as well as its dynamic features. (original abstract)

Słowa kluczowe

PL

Rozliczenia międzybankowe; Kurs walutowy; Przepływy pieniężne; Model GARCH

EN

Interbank settlements; Exchange rates; Cash flows; GARCH model

• Czasopismo: Bank i Kredyt
• Rocznik: 2010
• Numer: nr 5
• Strony: 5--39

Twórcy

autor

Katarzyna Bień

• Narodowy Bank Polski; Szkoła Główna Handlowa w Warszawie

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