Strategic Trading When Central Bank Intervention Is Predictable

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2021-04-23 DOI:10.1093/rapstu/raab011

Liyan Yang, Haoxiang Zhu

引用次数: 0

Abstract

Market prices are noisy signals of economic fundamentals. In a two-period model, we show that if the central bank uses market prices as guidance for intervention, large strategic investors who benefit from high prices would depress market prices to induce a market-supportive intervention. Stronger anticipated interventions lead to deeper price depressions preintervention and sharper price reversals post-intervention. The central bank intervention harms strategic investors even though it is the investors who tried to mislead the central bank. The model predicts a V-shaped price pattern around central bank interventions, consistent with recent evidence. (JEL G14, G18)

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央行干预可预测时的战略交易

市场价格是经济基本面的嘈杂信号。在两期模型中，我们表明，如果央行以市场价格作为干预的指导，从高价格中受益的大型战略投资者将压低市场价格以诱导市场支持性干预。更强的预期干预导致干预前更深的价格低迷和干预后更剧烈的价格逆转。央行的干预损害了战略投资者的利益，尽管正是这些投资者试图误导央行。该模型预测，围绕央行干预，价格将呈现v型走势，这与最近的证据一致。(凝胶g14, g18)

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.