G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4641
DP4641 Competition and Incentives with Motivated Agents
Tim Besley; Maitreesh Ghatak
发表日期2004-09-23
出版年2004
语种英语
摘要Price clustering is a well-documented regularity of foreign exchange transactions. In this Paper, I present new empirical evidence of price clustering for central bank interventions. A feature of the price clustering in Swiss National Bank (SNB) transactions is market dependency. Evidence of clustering in the broker market is considerably smaller than in the dealer market. The empirical analysis for Swiss interventions uses a disaggregate approach to test the hypothesis whether intervention strategy matters. The most important determinants of price clustering are bank size and transaction volume. While the regression evidence for customer transactions is consistent with the efficiency hypothesis, the clustering results for intervention trades are not influenced by the SNB?s intervention tactics.
主题International Macroeconomics
关键词E33 Central bank interventions Intervention strategy Clustering
URLhttps://cepr.org/publications/dp4641
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/533561
推荐引用方式
GB/T 7714
Tim Besley,Maitreesh Ghatak. DP4641 Competition and Incentives with Motivated Agents. 2004.
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