A Puzzle of Microstructure Market Maker Models / / Rafael Romeu
Pubbl/distr/stampa
Washington, D.C. : , : International Monetary Fund, , 2004
ISBN
9786613776440
9781462332953
1462332951
9781452723068
1452723060
9781281116512
1281116513
9781451890563
1451890567
Edizione
[1st ed.]
Descrizione fisica
1 online resource (24 p.)
Collana
IMF Working Papers
Soggetti
Foreign exchange rates - Econometric models
Foreign exchange market - Econometric models
Information theory in finance
Currencies
Currency markets
Currency
Exchange rate modelling
Exchange rates
Finance
Finance: General
Foreign exchange market
Foreign Exchange
Foreign exchange
Government and the Monetary System
International Financial Markets
Model Evaluation and Selection
Monetary economics
Monetary Systems
Money and Monetary Policy
Money
Payment Systems
Purchasing power parity
Regimes
Standards
Lingua di pubblicazione
Inglese
Formato
Materiale a stampa
Livello bibliografico
Monografia
Note generali
"January 2004."
Nota di bibliografia
Includes bibliographical references (p. 21-23).
Nota di contenuto
""Contents""; ""I. Introduction""; ""II. Reconsidering the Lyons (1995) Result""; ""III. A Puzzle of Microstructure Market Maker Models""; ""IV. Conclusion""; ""References""
Sommario/riassunto
This study addresses the empirical viability of microstructure models of dealer price setting. New evidence is presented rejecting these models' specifications of how information asymmetry and inventory accumulation affect dealer pricing. This rejection is consistent with those of other dealer-level empirical studies. This study suggests a new modeling option may be to reconsider optimal price setting while relaxing assumptions that specify incoming orders as the only component through which dealer inventories evolve. This approach is consistent with inventory evolution data and with general equilibrium models' assumptions about currency markets.