文档介绍：Market Microstructure Effects
of Government Intervention
in the Foreign Exchange
Market.
Peter Bossaerts
Carnegie Mellon University and California Institute
of Technology
Pierre Hillion
INSEAD
An asymmetric information model of the bid-ask
spread is developed for foreign exchange market
subject to occasional government interventions.
Traditional tests of the unbiasedness of the for-
ward rate as a predictor of the future spot rate
are shown to be inconsistent when the rates are
measured as the average of their respective bid
and ask quotes. Larger bid-ask spreads on Fridays
are documented. Reliable evidence of asymmetric
bid-ask spreads for all days of the week, albeit
more pronounced on Fridays, are presented. The
null hypotesis that the forward rate is an unbi-
ased predictor of the future spot rate continues to
be rejected. The regression slope coefficients
increase toward unity, however, indicating a less
variable risk premium.
Comments from the participants of the Groupe HEC finance seminar, the
AFFI conference (Paris). the ESF-CEPR conference (Lausanne), the WFA
Meetings (Santa Barbara). the IMI Group Conference (Rome), and the EFA
Meetings (Athens) are gratefully acknowledged, especially B. Biasis, M. Mel-
vin, E. Roell, and M. Tivegna. We have benefited from ments and
suggestions of the editor (Chester Spatt), and the referee (Paul Pfleiderer).
The first author expresses his gratitude for the hospitality of the Sloan School
of Management, Massachusetts Institute of Technology, where part of this
paper was written. This research pleted thanks to the financial sup
port of INSEAD (Research project # 2184R). Send correspondence and
requests for reprints to Peter Bassaerts, Division of Humanities and Social
Sciences 228-77. California Institute of Technology, Pasadena. CA 91125.
The Review Financial Studies 1991 Volume 4, number 3, pp. 513541
1991 The Review of Financial Studies 0893-9454/9