| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2460 |
| DP2460 Macroeconomic Stabilization: Fixed Exchange Rates Vs Inflation Targeting Vs Price Level Targeting | |
| Vivek Dehejia; Nicholas Rowe | |
| 发表日期 | 2000-05-30 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | We develop a multi-period model of strategic trading in an asset market where traders are uncertain about market liquidity. In our model, informed traders strategically trade against competitive market makers to exploit their short-lived private information. Unlike market makers, informed traders do not know whether the liquidity ('noise') trades are generated from a distribution with high or low variance. Instead, informed traders have to learn about liquidity from past prices. We find the following. (1) Prices that deviate markedly from the forecast of terminal asset value based on public news tend to lead to revisions of informed traders' beliefs in favour of the low liquidity state. (2) This revision in beliefs results in less aggressive trading on private information by informed traders. (3) In turn, informational efficiency and trading volume are dependent on the path of prices. (4) Moreover, learning about liquidity also has interesting effects on the unconditional properties of optimal strategic trading policies. |
| 主题 | Financial Economics |
| 关键词 | Bayesian learning Liquidity uncertainty Private information Strategic trading |
| URL | https://cepr.org/publications/dp2460 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531539 |
| 推荐引用方式 GB/T 7714 | Vivek Dehejia,Nicholas Rowe. DP2460 Macroeconomic Stabilization: Fixed Exchange Rates Vs Inflation Targeting Vs Price Level Targeting. 2000. |
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