外汇市场投资 Foreign Exchange Market Investment
Foreign Exchange Market Investment
The main motivation of this course is to help the students understand FX market structures and its volatility. From micro perspective, via high frequency data, the course keeps track on “order flow” and how the prices are generated by those market makers (dealers and brokers); From macro perspective, the determination of exchange rate can be estimated via interest rate parity, purchasing power parity, monetary approach, asset approach and equilibrium approach. Finally, DSGE model is introduced via simultaneous equations among the central bank, firms and households.
In order to let the students to practice with their own hands in the classroom, the course also offers the data of both high and low frequency via access to Bloomberg. Introduction of program of “STATA” is a byproduct of the course. Both time series and cross countries panel data analyses will give the students an in-depth understanding of exchange rate movements.