Martingale Property of Exchange Rates and Central Bank Interventions
使用方差比多重比较检验和Richardson-Smith Wald检验，对七种主要货币兑美元汇率的日数据进行鞅性质检验，发现汇率并非始终遵循鞅过程，在央行协调干预期间会偏离鞅性质。
AbstractThis article uses the variance ratio-based multiple comparison test and the Richardson–Smith Wald test procedures to test for the martingale property of daily exchange rates of seven major currencies vis-à-vis the U.S. dollar. To allow for the possibility that exchange rates are not governed by a single process throughout the float, the test statistics are calculated and plotted for fixed-length moving subsample windows rather than being applied to the full sample. The results show that exchange rates do not always follow the martingale process. During the times of coordinated central bank interventions, exchange rates deviate from the martingale property.KEY WORDS: Fixed-length moving subsample windowJoint variance ratio testMultiple comparison testRichardson–smith wald test