亚开行-外汇交易量对外汇波动的动态影响（英）-2025.2_35页_1mb

报告摘要

Summary of "Dynamic Impact of Foreign Exchange Trading Volume on Foreign Exchange Volatility"

Core Content

This paper explores the dynamic relationship between foreign exchange (FX) trading volume and FX volatility, using high-frequency hourly data. It highlights the role of third-party currencies in influencing the volatility of original currency pairs, emphasizing the importance of regional financial cooperation in managing exchange rate fluctuations.

Main Points

FX Volatility and Trading Volume: FX trading volume is identified as a key factor affecting exchange rate volatility. The study shows that trading volumes of third-party currencies have a significant impact on the volatility of original currency pairs.
USD's Dominant Role: The U.S. dollar (USD) is found to have a substantial influence through third-party channels. However, the paper also reveals that non-USD currency pairs can contribute to volatility, suggesting that regional cooperation is important in mitigating exchange rate instability.
High-Frequency Data: The use of high-frequency data (hourly) allows for a more precise analysis of the dynamic relationship between FX volume and volatility compared to traditional daily data.
Tripartite Relationships: The study focuses on two tripartite currency relationships: USD-AUD-JPY and USD-NZD-JPY. These were selected due to the availability of comprehensive trade volume data from the CLS database.
Volatility and Volume Correlation: There is a strong positive correlation between FX volatility and trading volumes. Currency pairs with higher volatility tend to have higher trading volumes, and vice versa.
Regional Implications: In Asia and the Pacific, the dominance of the USD in trade invoicing (around 40% globally, 80% regionally) has significant implications for regional economies. The paper suggests that strengthening regional cooperation can help mitigate FX volatility, especially as economies become more integrated.
Policy Relevance: The findings underscore the need for regional policy coordination to address exchange rate volatility, particularly in the context of increasing economic interdependence and global value chain participation.

Key Findings

Volatility and Volume Relationship: The paper finds that FX volatility is significantly influenced by third-party trade volumes, not just by the original currency pairs.
USD's Influence: The USD is the most influential currency in the third-party channel, but non-USD currency pairs also contribute meaningfully to volatility.
Empirical Analysis: Using OLS, fixed effects, and GARCH models, the study confirms the significant impact of third-party FX trading volumes on original currency pair volatility.
Correlation Evidence: Correlation matrices show that each currency pair's volatility is most strongly correlated with its own trading volume. However, third-party trade volumes also play a role, especially in the USD-JPY-AUD and USD-JPY-NZD tripartite relationships.
Data Sources: The CLS database and Bloomberg data are used to provide high-frequency insights into FX trading volumes and volatility. The CLS database is noted as the largest source of executed FX data.
Policy Recommendations: The research supports the need for enhanced regional cooperation and coordination in financial and trade policies to stabilize exchange rates and reduce volatility.

Key Currency Pairs and Statistics

Volatility:
- NZD-JPY had the highest volatility (up to 76.13%).
- USD-JPY had the lowest volatility (up to 41.15%).
- JPY-AUD and AUD-USD had moderate volatility levels.
Trading Volumes:
- USD-JPY had the highest average trading volume (2.98e+09).
- AUD-USD and NZD-USD had high trading volumes.
- NZD-JPY had the lowest average trading volume (2.91e+07), but showed high volatility.

Conclusion

The paper concludes that while the USD remains a dominant factor in FX volatility through third-party channels, the role of non-USD currency pairs in influencing volatility should not be overlooked. This has significant implications for regional economic policy, suggesting that cooperation among Asian economies can be an effective strategy in reducing exchange rate volatility. The study also fills a gap in the literature by analyzing the impact of third-party FX trade volumes using high-frequency data.