Auction-based tests of inventory control and private information in a centralized interdealer FX market

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2025-06-01 DOI:10.1016/j.finmar.2025.100981

Pietro Bonaldi , Mauricio Villamizar-Villegas

引用次数: 0

Abstract

This study examines how inventory control and private information affect trading prices and volumes in a centralized interdealer foreign exchange (FX) market. Using exogenous variation from FX auctions conducted by the Colombian Central Bank (2008–2014), we analyze settlement data from the COP/USD spot market before and after each auction. Comparing dealers with differing inventory and information shocks, we find that those with reduced inventories increase net USD purchases and pay higher prices post-auction.

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集中交易商间外汇市场中基于拍卖的库存控制和私人信息测试

本研究探讨了库存控制和私人信息如何影响集中交易商间外汇市场的交易价格和交易量。利用哥伦比亚中央银行进行的外汇拍卖（2008-2014）的外生变量，我们分析了每次拍卖前后COP/USD现货市场的结算数据。比较不同库存和信息冲击的经销商，我们发现库存减少的经销商增加了美元净购买量，并在拍卖后支付更高的价格。

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

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.