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  1. Micro approaches to foreign exchange determination
    Author: Evans, Martin D. D.; Rime, Dagfinn
    Published: 2010
    Publisher:  Georgetown Univ., Dep. of Economics, Washington, DC

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers series / Economics Department, Georgetown University ; 10,04
    Subjects: Devisenmarkt; Wechselkurs; Marktmikrostruktur; Partielles Gleichgewicht; Theorie
    Scope: Online-Ressource (35 S., 780,12 KB)
  2. On the correlation structure of microstructure noise
    a financial economic approach
    Author: Diebold, Francis X.; Strasser, Georg
    Published: 2010

    "We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns... more

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    "We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed cross-correlation patterns, for predicting as-yet undiscovered patterns, and for making informed conjectures regarding improved volatility estimation methods"--National Bureau of Economic Research web site

     
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    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 16469
    Subjects: Finanzmarkt; Kapitalanlage; Kapitaleinkommen; Volatilität; Noise Trading; Marktmikrostruktur
    Scope: 63 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  3. No trade, informed trading, and accuracy of information
    Author: Wijeratne, Jayanaka; Takayama, Shino
    Published: 2010
    Publisher:  School of Economics, Univ. of Queensland, Brisbane

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    Language: English
    Media type: Book
    Format: Online
    Series: School of Economics discussion papers series ; 411
    Subjects: Marktmikrostruktur; Asymmetrische Information; Zinsstruktur; Portfolio-Management
    Scope: Online-Ressource (6 S., 129,80 Kb)
  4. Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence
    Author: Hautsch, Nikolaus; Podolskij, Mark
    Published: 2010
    Publisher:  Center for Financial Studies, Frankfurt, Main

    This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an... more

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    This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in microstructure noise. Using transaction data of different stocks traded at the NYSE, we analyze the estimators' sensitivity to the choice of the pre-averaging bandwidth and suggest an optimal interval length. Moreover, we investigate the dependence of preaveraging based inference on the sampling scheme, the sampling frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we provide guidance for optimal implementation of pre-averaging estimators and discuss potential pitfalls in practice. -- Quadratic Variation ; MarketMicrostructure Noise ; Pre-averaging ; Sampling Schemes ; Jumps

     
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    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/43201
    Series: CFS working paper ; 2010/17
    Subjects: Börsenkurs; Zeitreihenanalyse; Marktmikrostruktur; Noise Trading; Theorie; Schätzung; USA
    Scope: Online-Ressource (PDF-Datei: 53 S., 1,71 MB), graph. Darst.
  5. The Euro overnight interbank market and ECB's liquidity management policy during tranquil and turbulent times
    Author: Cassola, Nuno; Huetl, Michael
    Published: 2010
    Publisher:  European Central Bank, Frankfurt am Main

    We analyze the impact of the recent financial market crisis on the Euro Overnight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM06] by... more

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    We analyze the impact of the recent financial market crisis on the Euro Overnight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM06] by (i) incorporating the microstructure of the EONIA market including the ECB fine-tuning operation on the last day of the maintenance period (MP) and banks' daily excess liquidity, (ii) giving insight into banks' trading behavior characterized by an endogenous regime-switch and suggesting an efficient procedure to simulate the entire MP, and (iii) proposing a model for market distortion due to lending constraints which lead to a bid-ask spread for the EONIA rate. The model is calibrated by simulation fitting daily EONIA rates and aggregate liquidity measures observed between March 2004 and September 2008. Besides lending constraints we consider market segmentation and aggregate liquidity shocks as possible market distortions in the crisis period. For a calibration cross-check and for estimating the timing of the endogenous regime-switch we use panel data covering liquidity data of 82 Euro Area commercial banks for the period 03/2003 - 07/2007. With the calibrated model the ECB policy of liquidity frontloading is evaluated and compared with a reserve band system policy similar to the Bank of England's framework. We find that liquidity frontloading is a small scale central bank intervention which is capable of stabilizing interest rates in both frictionless and distorted markets. Simulations suggest that without frontloading the EONIA would have been, on average, 23 basis points above the policy rate (target); with frontloading, the overnight rate is, on average, on target. - Liquidity management ; open market operations ; simulation ; microstructure

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/153681
    Series: Working paper series / European Central Bank ; 1247
    Subjects: Euromarkt; Bankenliquidität; Offenmarktpolitik; Simulation; Marktmikrostruktur; EU-Staaten
    Scope: Online-Ressource, (59 S., 1,16 MB)
  6. Is exchange rate - customer order flow relationship linear?
    evidence from the Hungarian FX market
    Author: Lovcha, Yuliya; Perez-Laborda, Alejandro
    Published: 2010
    Publisher:  Magyar Nemzeti Bank, Budapest

    Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of this approach is that the order flows at different levels of aggregation contain valuable information to explain exchange rate... more

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    Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of this approach is that the order flows at different levels of aggregation contain valuable information to explain exchange rate movements. The bulk of empirical literature has focused on evaluating this hypothesis in a linear framework. This paper analyzes nonlinearities in the relation between exchange rates and customer order flows. We show that the relationship evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we found that the nonlinearity can be captured successfully by the Threshold regression and Markov Switching models, which provide substantial explanatory power beyond the constant coefficients approach. -- Customer order flows ; nonlinear models ; microstructure ; exchange rate.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/83578
    Series: MNB working papers ; 2010/10
    Subjects: Wechselkurs; Volatilität; Devisenmarkt; Auftragseingang; Marktmikrostruktur; Nichtlineare Regression; Schätztheorie; Theorie
    Scope: Online-Ressource (PDF-Datei: 31 S., 812 KB), graph. Darst.
    Notes:

    Zsfassung in ungar. Sprache
  7. Pre-averaging based estimation of quadratic variation in the presence of noise and jumps
    theory, implementation, and empirical evidence
    Author: Hautsch, Nikolaus; Podolskij, Mark
    Published: 2010
    Publisher:  School of Economics and Management, Århus

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2010,29
    Subjects: Börsenkurs; Zeitreihenanalyse; Marktmikrostruktur; Noise Trading; Theorie; Schätzung; USA
    Scope: Online-Ressource (55 S.)
  8. Pre-averaging based estimation of quadratic variation in the presence of noise and jumps
    theory, implementation, and empirical evidence
    Author: Hautsch, Nikolaus; Podolskij, Mark
    Published: 2010
    Publisher:  SFB 649, Economic Risk, Berlin

    This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an... more

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    Staats- und Universitätsbibliothek Bremen
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    This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in microstructure noise. Using transaction data of different stocks traded at the NYSE, we analyze the estimators’ sensitivity to the choice of the pre-averaging bandwidth and suggest an optimal interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we provide guidance for optimal implementation of pre-averaging estimators and discuss potential pitfalls in practice. -- Quadratic Variation ; Market Microstructure Noise ; Pre-averaging ; Sampling Schemes ; Jumps

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/56650
    Series: SFB 649 discussion paper ; 2010-038
    Subjects: Börsenkurs; Zeitreihenanalyse; Marktmikrostruktur; Noise Trading; Theorie; Schätzung; USA
    Scope: Online-Ressource (PDF-Datei: 56 S., 1,83 MB)
  9. What's behind forward premiums for stocks?
    time value, convenience, and arbitrage in the Brussels stock exchange
    Author: Tuan Thi Ngoc Bui; Sercu, Piet
    Published: 2010
    Publisher:  Katholieke Univ. Leuven, Faculty of Business and Economics, Leuven

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: AFI ; 1043
    Subjects: Marktmikrostruktur; Effizienzmarkthypothese; Börsenhandel; Brüssel; Belgien; forward premium
    Scope: Online-Ressource (47 S.), graph. Darst.
  10. Forward trading in the Brussels SE
    implied costs of raising funds and of shorting stocks
    Author: Tuan Thi Ngoc Bui; Sercu, Piet
    Published: 2010
    Publisher:  Katholieke Univ. Leuven, Faculty of Business and Economics, Leuven

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    Language: English
    Media type: Book
    Format: Online
    Series: AFI ; 1044
    Subjects: Marktmikrostruktur; Leerverkauf; Börsenhandel; Brüssel; Belgien; forward premium
    Scope: Online-Ressource (28 S.), graph. Darst.
  11. Theoretical and practical aspects of algorithmic trading
    Author: Fränkle, Jan
    Published: 2010

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    Universitätsbibliothek Braunschweig
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    Karlsruher Institut für Technologie, KIT-Bibliothek
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: Wertpapierhandel; Elektronisches Handelssystem; Marktmikrostruktur; Aktienmarkt; Börsenkurs; Handelsvolumen der Börse; Schätzung; USA; EU-Staaten; Japan; Kanada
    Scope: Online-Ressource
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    Karlsruhe, Karlsruher Inst. für Technologie, Diss., 2010
  12. The co-movement of asset returns and the micro-macro focus of prudential oversight
    Author: Majnoni, Giovanni
    Published: 2010
    Publisher:  World Bank, Office of the Executive Director, Washington, DC

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    VS 2 (5456)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Policy research working paper ; 5456
    Subjects: Kapitalmarkttheorie; Finanzkrise; Kapitaleinkommen; Marktmikrostruktur
    Scope: Online-Ressource (PDF-Datei: 27 S.), graph. Darst.
  13. The impact of macroeconomic news on quote adjustments, noise, and informational volatility
    Author: Hautsch, Nikolaus; Hess, Dieter; Veredas, David
    Published: 2010
    Publisher:  Centre for Financial Research, Cologne

    We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor... more

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    We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components reflect information-driven and noise-induced volatilities.We find that all volatility components reveal distinct dynamics and are positively influenced by news. The proportion of noise-induced variances is highest before announcements and significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow imbalances. -- effcient return ; macroeconomic announcements ; microstructure noise ; informational volatility

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/44967
    Edition: This version: November 2010
    Series: CFR working paper ; 11-06
    Subjects: Wirtschaftsinformation; Ankündigungseffekt; Börsenkurs; Geld-Brief-Spanne; Kapitaleinkommen; Informationseffizienz; Volatilität; Noise Trading; Marktmikrostruktur; Theorie; Schätzung; Zinsderivat; Deutschland
    Scope: Online-Ressource (PDF-Datei: 45 S., 2,05 MB), graph. Darst.
    Notes:

    Zsfassung in dt. Sprache
  14. The impact of macroeconomic news on quote adjustments, noise, and informational volatility
    Author: Hautsch, Nikolaus; Hess, Dieter; Veredas, David
    Published: 2010
    Publisher:  SFB 649, Economic Risk, Berlin

    We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor... more

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    Staats- und Universitätsbibliothek Bremen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and are positively influenced by news. The proportion of noise-induced variances is highest before announcements and significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/39320
    Series: SFB 649 discussion paper ; 2010,005
    Subjects: Wirtschaftsinformation; Ankündigungseffekt; Börsenkurs; Geld-Brief-Spanne; Kapitaleinkommen; Informationseffizienz; Volatilität; Noise Trading; Marktmikrostruktur; Theorie; Schätzung; Zinsderivat; Deutschland
    Scope: Online-Ressource (35 S.), graph. Darst.
  15. The impact of macroeconomic news on quote adjustments, noise, and informational volatility
    Author: Hautsch, Nikolaus; Hess, Dieter; Veredas, David
    Published: 2010
    Publisher:  Center for Financial Studies, Frankfurt, Main

    We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (2010,1)
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    We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and are positively influenced by news. The proportion of noise-induced variances is highest before announcements and significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational Volatility

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/43217
    Series: CFS working paper ; 2010,01
    Subjects: Wirtschaftsinformation; Ankündigungseffekt; Börsenkurs; Geld-Brief-Spanne; Kapitaleinkommen; Informationseffizienz; Volatilität; Noise Trading; Marktmikrostruktur; Theorie; Schätzung; Zinsderivat; Deutschland
    Scope: Online-Ressource (35 S.), graph. Darst.
  16. Price and trading response to public information
    Author: Malinowska, Magdalena
    Published: 2010
    Publisher:  European Central Bank, Frankfurt am Main

    In their seminal paper French and Roll (1986) postulate that public information affects prices before anyone can trade on it. In contrast, several models assuming heterogeneous investors show that public news releases are directly followed by high... more

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    Staats- und Universitätsbibliothek Bremen
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    In their seminal paper French and Roll (1986) postulate that public information affects prices before anyone can trade on it. In contrast, several models assuming heterogeneous investors show that public news releases are directly followed by high trading volume. Empirical evidence on this question is still mixed, primarily due to the lack of sufficiently precise data. This paper examines the process of price adjustment to public news in an electronic limit order market, based on very precise information from the largest European bond futures market. The results show that the price response to public news is gradual and accompanied by trading. Good (bad) news releases are followed by a sequence of positive (negative) returns and a large buying (selling) activity in the first seconds after the news release. - Information processing ; market microstructure ; macroeconomic announcements ; price adjustment

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/153611
    Series: Working paper series / European Central Bank ; 1177
    Subjects: Informationsverhalten; Ankündigungseffekt; Marktmikrostruktur; Staatspapier; Deutschland
    Scope: Online-Ressource, (34 S., 1,29 MB)
  17. On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates
    Author: Reitz, Stefan; Ruelke, Jan-Christoph; Taylor, Mark P.
    Published: 2010
    Publisher:  Dt. Bundesbank, Frankfurt, M.

    This paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the... more

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 12 (2010,8)
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    Universitätsbibliothek Osnabrück
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    This paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate in the sense that mean reversion increases with the degree of exchange rate misalignment. Second, a STR-GARCH model suggests that RBA interventions account for this result by strengthening foreign exchange traders' confidence in fundamental analysis. This in line with the so-called coordination channel of intervention effectiveness. -- Foreign exchange intervention ; market microstructure ; smooth transition ; nonlinear mean reversion

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783865586117
    Other identifier:
    hdl: 10419/32548
    Series: Array ; 08/2010
    Subjects: Wechselkurspolitik; Wirkungsanalyse; Wechselkurs; US-Dollar; Devisenmarkt; Marktmikrostruktur; Nichtlineare Regression; Schätzung; Australien
    Scope: Online-Ressource (38 S., 510 KB), graph. Darst.
    Notes:

    Zsfassungen in dt. und engl. Sprache
  18. A state space approach to estimating the integrated variance under the existence of market microstructure noise
    Author: Nagakura, Daisuke; Watanabe, Toshiaki
    Published: 2010
    Publisher:  Hitotsubashi Univ., Research Unit for Statistical and Empirical Analysis in Social Sciences, Kunitachi

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 155 (115)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10086/18295
    Series: Global COE hi-stat discussion paper series / Hitotsubashi University, Research Unit for Statistical and Empirical Analysis in Social Sciences (Hi-Stat) ; 115
    Subjects: Zustandsraummodell; Varianzanalyse; Marktmikrostruktur; Schätzung; Wechselkurs; Yen; US-Dollar
    Scope: Online-Ressource (58 S., 1230 Kb), graph. Darst.
  19. The dynamics of hourly electricity prices
    Author: Härdle, Wolfgang; Trück, Stefan
    Published: 2010
    Publisher:  SFB 649, Economic Risk, Berlin

    The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous... more

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    Staats- und Universitätsbibliothek Bremen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 86 (2010.13)
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    The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in order to verify that the schedule is feasible and lies within transmission constraints. Instead agents have to submit their bids and offers for delivery of electricity for all hours of the next day before a specified market closing time. We suggest the use of dynamic semiparametric factor models (DSFM) for the behavior of hourly electricity prices. We find that a model with three factors is able to explain already a high proportion of the variation in hourly electricity prices. Our analysis also provides insights into the characteristics of the market, in particular with respect to the driving factors of hourly prices and their dynamic behavior through time. -- Power Markets ; Dynamic Semiparametric Factor Models ; Day-ahead Electricity Prices

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/39311
    Series: SFB 649 discussion paper ; 2010,013
    Subjects: Strompreis; Volatilität; Warenbörse; Faktorenanalyse; Nichtparametrisches Verfahren; Elektrizität; Marktmikrostruktur; Schätzung; Europa
    Scope: Online-Ressource (22 S.), graph. Darst.
  20. Intermediation by heterogeneous oligopolists
    Author: Morasch, Karl
    Published: 2010
    Publisher:  Univ. d. Bundeswehr, Inst. für VWL, Neubiberg

    In his book on “Market Microstructure” Spulber presented some strange results with respect to the impact of the substitutability parameter in an intermediation model with differentiated products and inputs. Intuitively, effects in the product and the... more

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    Staats- und Universitätsbibliothek Bremen
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 34 (2010,3)
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    In his book on “Market Microstructure” Spulber presented some strange results with respect to the impact of the substitutability parameter in an intermediation model with differentiated products and inputs. Intuitively, effects in the product and the input market should be similar: if firms become more homogeneous, they loose market power, which should yield lower bid-ask-spreads and higher output. However, in Spulber’s analysis parameter changes in the product market yield qualitatively different results for bid–ask spreads and output than equivalent changes in the input market. The present paper shows that this outcome stems from an inadequate normalization of market size in upstream and downstream markets, respectively. By appropriately controlling for market size effects, intuitive results are obtained. Beyond that, a setting with appropriate normalization also allows to address the impact of changes in the number of competitors on the market outcome. -- Intermediation ; oligopoly ; product differentiation In seinem Buch „Market Microstructure“ analysiert Spulber ein auf den ersten Blick plausibel konstruiertes duopolistisches Intermediationsmodell mit differenzierten Gütern und Inputs. Eine Veränderung des Grades der Substituierbarkeit zwischen den Gütern bzw. zwischen den Inputs hat in diesem Modell jedoch intuitiv nicht nachvollziehbare Auswirkungen. Eigentlich würde man erwarten, dass Änderungen im Güter- und im Inputmarkt hier analoge Effekte haben:Wenn die Heterogenität zurückgeht, sollte sich die Marktmacht der Unternehmen verringern, was wiederum in geringeren Bid–ask–spreads und höherem Absatz resultieren sollte. Tatsächlich führen Parameteränderungen im Gütermarkt aber zu qualitativ anderen Effekten als entsprechende Änderungen im Inputmarkt. Im vorliegenden Papier wird gezeigt, dass dieses Resultat auf der mangelnden Normalisierung der Marktgröße im Downstream- und Upstream-Markt beruht. Wird für Marktgrößeneffekte angemessen kontrolliert, so ergeben sich im Gegensatz zu den Ergebnissen von Spulber intuitiv nachvollziehbare Resultate. Darüber hinaus kann in einer entsprechenden Modellierung auch untersucht werden, wie sich eine steigenden Anzahl von Wettbewerbern auf den Intermediationswettbewerb auswirkt. -- Intermediation ; Oligopol ; Produktdifferenzierung

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/45013
    Series: Volkswirtschaftliche Diskussionsbeiträge / Universität der Bundeswehr München, Fachgruppe für Volkswirtschaftslehre ; 2010,3
    Subjects: Vermittlungstätigkeit; Oligopol; Produktdifferenzierung; Lieferantenmanagement; Marktmikrostruktur; Theorie
    Scope: Online-Ressource (PDF-Datei: 8 S., 445 KB), graph. Darst.
    Notes:

    Zsfassung in dt. Sprache

    Parallel als Druckausg. erschienen