Analyse microstructurelle du comportement du teneur de marché des changes : étude intra-journalière de l'activité d'un teneur de marché tunisien

The aim of this paper is to test if the price setting strategy of a Tunisian trader on the foreign exchange market can be adequately described by the microstructural model developed by Madhavan and Smidt (1991) and Lyons (1995). We test for informational and inventory effects. The dataset used involves intraday quotes of a medium size bank on the USDTND and EURTND exchange rates, from the 1st January 2002 to the 27th November 2003. Our results confirm an inventory effect and an informational effect from the transactions with the Central Bank of Tunisia, but only for the USDTND exchange rate. The microstructure approach does not help to explain the EURTND quotes. The management of Tunisia exchange rate regime could offer an explanation for these mitigated results. Our results also show that, despite the financial liberalization politics followed by Tunisia for two decades, the Central Bank of Tunisia interventions still strongly act on both USDTND and EURTND quotes.