Competitive Entry and Endogenous Risk in the Foreign Exchange Market
Competitive Entry and Endogenous Risk in the Foreign Exchange Market
复制标题
外汇市场的竞争进入与内生风险
DOI：
10.1093/rfs/11.4.757
复制
发表时间：
1998
影响因子：
8.2
通讯作者：
H. Hau
中科院分区：
文献类型：
--
作者：
H. Hau
最近的证据表明，更高的交易员参与度增加了汇率的波动性。为了探索这种联系，我们开发了一个受异质性预期错误影响的交易者内生进入的动态模型。边际交易者进入市场有两个作用：一方面增加了市场吸收外生供给风险的能力，另一方面增加了噪声和内生交易风险。竞争进入均衡的特征是过度进入市场和过度波动的价格。对进入者征收正税可以降低交易者的参与度和波动性，同时提高市场效率。这篇文章由牛津大学出版社代表金融研究学会发表在其期刊《金融研究评论》上。
Recent evidence shows that higher trader participation increases exchange rate volatility. To explore this linkage, we develop a dynamic model of endogenous entry of traders subject to heterogenous expectational errors. Entry of a marginal trader into the market has two effects: it increases the capacity of the market to absorb exogenous supply risk, and at the same time it adds noise and endogenous trading risk. The competitive entry equilibrium is characterized by excessive market entry and excessively volatile prices. A positive tax on entrants can decrease trader participation and volatility while increasing market efficiency. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.