Strategic trading in a two-sided foreign exchange auction

• 成果类型: Article
• 署名作者: Goldberg, L; Tenorio, R
• 署名单位: National Bureau of Economic Research; University of Notre Dame
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(96)01447-X
• 发表日期: 1997
• 页码: 299-326
• 关键词: foreign exchange; microstructure; auction; Tatonnement; RUSSIA

摘要

The market microstructure chosen for foreign exchange markets can influence trading volumes and equilibrium exchange rates. With emerging markets and developing countries increasingly utilizing two-sided auctions, we show that the choice of the discrete 'tatonnement' auction creates incentives for strategic behavior among market participants. Theoretical predictions on strategic under-revelation of demand or supply positions are supported empirically using detailed data from a rare example of a tatonnement market, the Moscow Interbank Currency Exchange. Our results suggest that market microstructures should be introduced alongside more traditional asset-market fundamentals in studies of foreign exchange market activity, especially in developing countries.