Strategic trading in a two-sided foreign exchange auction

Journal of International Economics

Volumn 42, Issue 3-4, 1997, Pages 299-326

  Goldberg, Linda ^a,b   Tenorio, Rafael ^c  

^a FEDERAL RESERVE BANK OF NEW YORK   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c UNIVERSITY OF NOTRE DAME   (United States)

Author keywords

Auction; Foreign exchange; Microstructure; Russia; T tonnement

Indexed keywords

EID: 0342586108     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0022-1996(96)01447-X     Document Type: Article

References (29)

1. Aron, J. and I. Elbadawi, 1993, A typology of foreign exchange auction markets in sub-Saharan Africa, Mimeo. (World Bank).
2. Bronfman, C., K. McCabe, D. Porter, S. Rassenti, and V. Smith, 1994, An experimental examination of the Walrasian tâtonnement mechanism, The Rand Journal of Ecnomics 27, 681-699.
3. Bulow, J. and P. Klemperer, 1994, Rational frenzies and crashes, Journal of Political Economy 102, 1-23.
4. Feldman, R. and R. Mehra, 1993, Auctions: Theory and possible applications to economies in transition, International Monetary Fund Staff Papers 40, 485-511.
5. Friedman, D., 1993, The double auction market institution: A survey, in: D. Friedman and J. Rust, eds., The double auction market: Institutions, theories, and evidence (Addison-Wesley, Reading, MA).
6. Friedman, D. and J. Ostroy, 1995, Competitivity in auction markets: An experimental and theoretical investigation, Economic Journal 105, 22-53.
7. Goldberg, L., 1993, Foreign exchange markets in Russia: Understanding the reforms, International Monetary Fund Staff Papers 40, 852-864.
8. Goldberg, L., 1995, Exchange rate unification with black market leakages, Journal of Development Economics 48, 167-187.
9. Goldberg, L. and I. Karimov, 1995, Policy initiatives, currency markets and production choices in emerging market economies, Journal of Comparative Economics 21, 267-288.
10. Goldberg, L. and I. Karimov, 1997, Black markets for currency, hoarding activity and policy reform, Journal of International Economics, 42, 349-369.
11. Goldberg, L. and R. Tenorio, 1995a, Explaining order imbalances in Russia's tâtonnement foreign exchange auction, in: J. Gacs and M.J. Peck, eds., International trade issues of the Russian Federation (International Institute of Applied Systems Analysis, Austria).
12. Goldberg, L. and R. Tenorio, 1995b, Strategic trading in a two-side foreign exchange auction, Working Paper 5187 (NBER).
13. Hurwicz, L., 1972, On informationally decentralized systems, in: C.B. McGuire and R. Radner, eds., Decision and organization (University of Minnesota Press, Minneapolis).
14. Jarecki, H.G., 1976, Bullion dealing, commodity exchange trading and the London gold fixing: Three forms of commodity auctions, in: Y. Amihud, ed., bidding and auctioning for procurement and allocation (New York University Press, New York).
15. Joyce, P., 1984, The Walrasian tâtonnement mechanism and information, Rand Journal of Economics 15, 416-425.
16. Kovanen, A., 1994, Foreign exchange auctions and fixing: A review of performance, Working Paper (International Monetary Fund).
17. Lyons, R., 1995, Tests of microstructure hypotheses in the foreign exchange market, Working Paper 4471 (NBER); Journal of Financial Economics 39, 321-357.
18. Madhavan, A., 1992, Trading mechanisms in securities markets, Journal of Finance 47, 607-642.
19. MICEX, 1992, Moscow Interbank Currency Exchange (MICEX) (Image, Moscow).
20. Morishima, M., 1977, Walras' economics (Cambridge University Press, Cambridge).
21. Obstfeld, M. and A. Stockman, 1984, Exchange rate dynamics, in R. Jones and P. Kenen, eds., Handbook of International Economics (North-Holland, Amsterdam) Vol. 2, 917-977.
22. Quirk, P., B.V. Christensen, K. Huh, and T. Sasaki, 1987, Floating exchange rates in developing countries: Experience with auction and interbank markets, International Monetary Fund Occasional Paper 53.
23. Roberts, D.J. and A. Postlewaite, 1976, The incentives for price-taking behavior in large exchange economies, Econometrica 44, 115-117.
24. Samuelson, P., 1954, The pure theory of public expenditure, Review of Economics and Statistics 36, 387-389.
25. Tenorio, R., 1997, Revenue-equivalence and bidding behavior in a multi-unit auction market: An empirical analysis, Review of Economics and Statistics 75, 302-314.
26. Tenorio, R., 1995, On strategic quantity bidding in multiple unit auctions, Journal of Industrial Economics, forthcoming.
27. Vickrey, W., 1961, Counterspeculation, auctions, and competitive sealed tenders, Journal of Finance 16, 8-37.
28. Walker, D.A., 1972, Competitive tâtonnement exchange markets, Kyklos 25, 345-363.
29. World Bank, 1993, Russia: joining the world economy (Washington, D.C.).