Spread Components and Dealer Profits in the Interbank Foreign Exchange Market
Author : Jian Yao
Publisher :
Page : 86 pages
File Size : 50,28 MB
Release : 1998
Category : Foreign exchange market
ISBN :
Studies in Foreign Exchange Economics
Author : Martin D D Evans
Publisher : World Scientific Publishing Company
Page : 791 pages
File Size : 28,89 MB
Release : 2017-06-28
Category : Business & Economics
ISBN : 9813148543
Book Description
This book collects my scholarly research on the behavior of foreign exchange rates conducted over the past twenty-five years. The collection includes papers that study the behavior of exchange rates from the traditional macroeconomic and newer microstructure perspectives. The former perspective considers the linkages between the macro economy and currency prices in an effort to understand the behavior of exchange rates over quarters, years and decades. By contrast, the microstructure perspective considers how the details of currency trading affect how macroeconomic information becomes embedded in currency prices, a process which drives exchange-rates over intraday horizons. The book also contains papers with a hybrid perspective that consider the details of currency trading and macroeconomic linkages in an effort to understand exchange-rate dynamics across all horizons.
The Theory And Empirics Of Exchange Rates
Author : Imad A Moosa
Publisher : World Scientific
Page : 512 pages
File Size : 22,73 MB
Release : 2009-07-15
Category : Business & Economics
ISBN : 9814468509
Book Description
Exchange rate economics is an important field of investigation for academics, professionals and policy-makers. This book provides a comprehensive survey of the theory of and empirical evidence on the determination and effects of exchange rates. The exposition utilizes both diagrammatic and mathematical representations of the underlying models. The book is a comprehensive reference for those engaged in this field of research.
The Microstructure of Foreign Exchange Markets
Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
Page : 358 pages
File Size : 35,17 MB
Release : 2009-05-15
Category : Business & Economics
ISBN : 0226260232
Book Description
The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Financial Soundness Indicators
Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 302 pages
File Size : 35,21 MB
Release : 2006-04-04
Category : Business & Economics
ISBN : 1589063856
Book Description
Financial Soundness Indicators (FSIs) are measures that indicate the current financial health and soundness of a country's financial institutions, and their corporate and household counterparts. FSIs include both aggregated individual institution data and indicators that are representative of the markets in which the financial institutions operate. FSIs are calculated and disseminated for the purpose of supporting macroprudential analysis--the assessment and surveillance of the strengths and vulnerabilities of financial systems--with a view to strengthening financial stability and limiting the likelihood of financial crises. Financial Soundness Indicators: Compilation Guide is intended to give guidance on the concepts, sources, and compilation and dissemination techniques underlying FSIs; to encourage the use and cross-country comparison of these data; and, thereby, to support national and international surveillance of financial systems.
Financial Markets: Derivative and foreign exchange markets
Author : Jeff Madura
Publisher :
Page : 312 pages
File Size : 15,3 MB
Release : 2004
Category : Capital market
ISBN :
Book Description
Illustrates the progress that has been made in financial markets and assesses innovations that provide solutions to dilemmas and increase efficiency. These articles break down the complex web of relationships between the financial intermediary, the managers of corporations, shareholders, creditors, analysts and regulators.
Discriminatory Pricing of Over-the-Counter Derivatives
Author : Hau Harald
Publisher : International Monetary Fund
Page : 45 pages
File Size : 43,92 MB
Release : 2019-05-07
Category : Business & Economics
ISBN : 1498303773
Book Description
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients.
Working Paper Series
Author :
Publisher :
Page : 630 pages
File Size : 29,48 MB
Release : 2001
Category : Economics
ISBN :
Book Description
FX Trading and Exchange Rate Dynamics
Author : Martin D. D. Evans
Publisher :
Page : 84 pages
File Size : 15,31 MB
Release : 2001
Category : Economics
ISBN :
Book Description
This paper provides new perspective on the poor performance of exchange rate models by focusing on the information structure of FX trading. I present a new theoretical model of FX trading that emphasizes the role of incomplete and heterogeneous information. The model shows how an equilibrium distribution of FX transaction prices and orders can arise at each point in time from the optimal trading decisions of dealers. This result motivates an empirical investigation of how the equilibrium distribution of FX prices behaves using a new data set that details trading activity in the FX market. This analysis produces two striking results: (i) Much of the observed short-term volatility in exchange rates comes from sampling the heterogeneous trading decisions of dealers in an equilibrium distribution that, under normal market conditions, changes comparatively slowly. (ii) In contrast to the assumptions of traditional macro models, public news is rarely the predominant source of exchange rate movements over any horizon.
Trading and Exchanges
Author : Larry Harris
Publisher : OUP USA
Page : 664 pages
File Size : 22,30 MB
Release : 2003
Category : Business & Economics
ISBN : 9780195144703
Book Description
Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
