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| Tekijä: | Goldberg, L. Tenorio, R. |
| Otsikko: | Strategic trading in a two-sided foreign exchange auction |
| Lehti: | Journal of International Economics
1997 : MAY, VOL. 42:3/4, p. 299-326 |
| Asiasana: | ECONOMICS FOREIGN EXCHANGE RUSSIA |
| Kieli: | eng |
| Tiivistelmä: | 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, the authors 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 datafrom a rare example of a tatonnement market, the Moscow Interbank Currency Exchange. |
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