2025-02-23-亚开行-外汇交易量对外汇波动的动态影响（英）_35页_1mb

Dynamic Impact of Foreign Exchange Trading Volume on Foreign Exchange Volatility

Key Findings

1. Third-party Trading Volumes Impact Volatility:

   • High-frequency data analysis shows that third-party foreign exchange trading volumes significantly influence the volatility of original currency pairs, regardless of whether USD is involved.
   • USD-related transactions exert a strong effect, but non-USD currency pairs also exhibit substantial impacts.

2. Model Validation:

   • OLS, fixed-effects, and GARCH models confirm the positive correlation between trading volumes and volatility across tripartite currency relationships.
   • Time-fixed effects and GARCH results demonstrate consistency in these trends, accounting for cyclical market factors.

3. Implications for Regional Cooperation:

   • Findings call for renewed attention to regional financial cooperation to mitigate exchange rate volatility through third-party currency channels, beyond direct transactions or reliance on major FX trading partners.

4. Market Dynamics:

   • Larger trading markets (e.g., USD-JPY) exert stronger effects on volatility due to higher trade volumes, though third-party trades remain influential.

Methodology

• Data: Hourly trade volumes and volatility rates from CLS FX and Bloomberg databases (May 1–31, 2023).
• Models: OLS, fixed-effects, and GARCH models to analyze dynamic relationships.

Conclusion

The dominance of USD in exchange rate volatility is undeniable, but regional currencies also play a critical role. Policymakers should explore multilateral initiatives (e.g., CMIM) to coordinate market stability and reduce speculative risks.