基地研究员吴震星副教授与合作者（Yin-Feng Gau,Department of Finance, School of Management, National Central University; Yu-Lun Chen, Department of Finance, College of Business, Chung Yuan Christian University）的论文“Price discovery and triangular arbitrage in currency markets” 在国际知名期刊Journal of International Money and Finance在线发表。Journal of International Money and Finance是国际货币经济学、国际金融以及两者之间迅速发展的重叠领域的理论和实证研究的高质量学术期刊。

Abstract: 

Price discovery is the process by which markets incorporate the relevant information to arrive at the efficient price of an asset. We study the price discovery process in JPY/EUR cross-rates and the rates derived from exchanges of JPY/USD and USD/EUR indirectly. The results highlight the role of the USD as a vehicle currency in enhancing price efficiency through the triangular arbitrage. During financial crisis periods, the implied JPY/EUR rates have even more contribution to price discovery than direct rates. We show the dominant price discovery of implied JPY/EUR rates relates to the lower transaction cost. Upon the release of macroeconomic announcements in Japan and Europe zone, the trading cost advantage enhances price discovery of implied rates even more. The more contribution to price discovery of implied rates predicts the higher future volatility of direct JPY/EUR rates, indicating the slower response of direct rates to the information shock and the subsequent adjustment resulting in higher variations in the direct rates.

Keywords：Vehicle currency; Price discovery; Triangular arbitrage

链接：https://doi.org/10.1016/j.jimonfin.2023.102912

教师简介

吴震星，中南财经政法大学金融学院年薪制副教授，数字技术与现代金融学科创新引智基地研究员。研究领域包含市场微观结构理论在国际金融，资产定价与公司金融议题上的应用。研究成果发表于Journal of International Money and Finance, Journal of Corporate Finance等国际期刊。