Heterogeneous Market‐Making in Foreign Exchange Markets: Evidence from Individual Bank Responses to Central Bank Interventions
利用高频数据，本文发现央行干预平均会增加外汇市场日内波动和买卖价差，且不同银行对央行入市的价差调整存在差异，这支持了异质性做市商模型，对央行市场权力和外汇储备交易收益有启示。
Using high‐frequency data this article provides evidence that, on average, central bank interventions lead to increased volatility and a widening of bid–ask spreads in the intra‐day market for foreign exchange. The results also show that there is dispersion in the bid–ask spread revisions posted by individual banks in response to the central bank entering the market. The findings are consistent with predictions from standard models of market microstructure with heterogeneous agents and have implications for the market power of central banks as well as the payoff generated by trading large amounts of international reserves.