全球智库信息集成服务系统(G2TT): Did the Reform Fix the London Fix Problem?

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w23327
来源ID	Working Paper 23327
	Did the Reform Fix the London Fix Problem?
	Takatoshi Ito; Masahiro Yamada
发表日期	2017-04-17
出版年	2017
语种	英语
摘要	This paper examines the consequences of the 2015 reform on the London fixing in the interbank forex market, which resulted from finding and imposing a penalty on banks’ collusive behavior around the fixing window. The banks changed their behavior after the reform, and the volume spike in the fixing window disappeared. However, the anomalies on price dynamics reported in the previous literature still exist, and banks’ passive trading strategy generates another predictability in the price movement. A theoretical model of optimal execution is used to calibrate the execution of fixing transactions by banks, and evaluate the increase in the cost and risks of fixing trades incurred by the banks' behavior. This paper is the first to examine the efficiency of banks’ behavior after the reform. The volume pattern during the fixing time window suggests that banks, by avoiding (even the appearance of) collusion, now incur the costs of executing customers’ orders.
主题	Microeconomics ; Market Structure and Distribution ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w23327
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/581001
推荐引用方式 GB/T 7714	Takatoshi Ito,Masahiro Yamada. Did the Reform Fix the London Fix Problem?. 2017.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w23327.pdf（2282KB）	智库出版物		限制开放	CC BY-NC-SA	浏览