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on Market Microstructure |
| By: | ONISHI Fuyuko (Bank of Japan); HIRAI Yuichiro (Bank of Japan); ARUGA Ryo (Bank of Japan); BESSHO Hidemi (Bank of Japan) |
| Abstract: | In the foreign exchange market, electronic trading (e-FX) has developed and expanded, bringing benefits such as lower trading costs and more trading options. To take advantage of these benefits, e-FX customers need to choose appropriate trading venues and methods. In addition, the development of e-FX has led to a fragmentation of liquidity in the foreign exchange market, making it more difficult to monitor market trends, and there are concerns that price discovery in the foreign exchange market may be undermined in the future. Furthermore, as the e-FX infrastructure advances internationally, the presence of the Tokyo market as a financial center may be affected, involving an outflow of foreign exchange transactions. |
| Keywords: | Foreign Exchange Market; Electronic Trading; Market Structure |
| JEL: | F31 G12 G15 |
| Date: | 2025–03–24 |
| URL: | https://d.repec.org/n?u=RePEc:boj:bojrev:rev25e04 |
| By: | Angella Montfaucon; Csilla Lakatos; Bayu Agnimaruto |
| Keywords: | International Economics and Trade-Trade and Environment Environment-Adaptation to Climate Change |
| Date: | 2024–03 |
| URL: | https://d.repec.org/n?u=RePEc:wbk:wboper:41156 |
| By: | Angella Faith Montfaucon; Csilla Lakatos; Bayu Agnimaruto; Jana Mirjam Silberring |
| Keywords: | International Economics and Trade-Trade Policy International Economics and Trade-Trade and Environment Environment-Adaptation to Climate Change |
| Date: | 2024–01 |
| URL: | https://d.repec.org/n?u=RePEc:wbk:wboper:40925 |
| By: | Phoebe Tian; Yu Zhu |
| Abstract: | This paper examines the price impacts of liquidations in decentralized finance (DeFi) lending and how they vary with fixed-spread and auction-based liquidation mechanisms. Using a theoretical framework, we show that the impact of these mechanisms depends on the liquidator participation cost, which determines the level of competition. Auctions mitigate the price impact of liquidations when the participation cost is low, but amplify them when it is high. Empirical analysis of Ethereum blockchain data shows that auction-based liquidations lead to smaller price drops by increasing competition, which raises collateral prices and reduces liquidation volumes. These findings underscore the importance of liquidation design in promoting market stability and mitigating fire-sale risks in DeFi lending. |
| Keywords: | Digital currencies and fintech |
| JEL: | D47 D44 G33 G20 |
| Date: | 2025–03 |
| URL: | https://d.repec.org/n?u=RePEc:bca:bocawp:25-12 |