04469oam 22011894 450 991096993880332120250426110808.0978661377644097814623329531462332951978145272306814527230609781281116512128111651397814518905631451890567(CKB)3360000000441014(EBL)3012490(SSID)ssj0000948596(PQKBManifestationID)11531048(PQKBTitleCode)TC0000948596(PQKBWorkID)10949354(PQKB)10275976(OCoLC)535146870(MiAaPQ)EBC3012490(IMF)WPIEE0062004(IMF)WPIEA0062004WPIEA0062004(EXLCZ)99336000000044101420020129d2004 uf 0engur|n|---|||||txtccrA Puzzle of Microstructure Market Maker Models /Rafael Romeu1st ed.Washington, D.C. :International Monetary Fund,2004.1 online resource (24 p.)IMF Working Papers"January 2004."9781451842326 1451842325 Includes bibliographical references (p. 21-23).""Contents""; ""I. Introduction""; ""II. Reconsidering the Lyons (1995) Result""; ""III. A Puzzle of Microstructure Market Maker Models""; ""IV. Conclusion""; ""References""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.IMF Working Papers; Working Paper ;No. 2004/006Foreign exchange ratesEconometric modelsForeign exchange marketEconometric modelsInformation theory in financeCurrenciesimfCurrency marketsimfCurrencyimfExchange rate modellingimfExchange ratesimfFinanceimfFinance: GeneralimfForeign exchange marketimfForeign ExchangeimfForeign exchangeimfGovernment and the Monetary SystemimfInternational Financial MarketsimfModel Evaluation and SelectionimfMonetary economicsimfMonetary SystemsimfMoney and Monetary PolicyimfMoneyimfPayment SystemsimfPurchasing power parityimfRegimesimfStandardsimfForeign exchange ratesEconometric models.Foreign exchange marketEconometric models.Information theory in finance.CurrenciesCurrency marketsCurrencyExchange rate modellingExchange ratesFinanceFinance: GeneralForeign exchange marketForeign ExchangeForeign exchangeGovernment and the Monetary SystemInternational Financial MarketsModel Evaluation and SelectionMonetary economicsMonetary SystemsMoney and Monetary PolicyMoneyPayment SystemsPurchasing power parityRegimesStandardsRomeu Rafael1815782International Monetary Fund.International Capital Markets Dept.DcWaIMFBOOK9910969938803321A Puzzle of Microstructure Market Maker Models4371572UNINA