The Microstructure of Foreign Exchange Markets
University of Chicago Press (Verlag)
978-0-226-26000-6 (ISBN)
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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 essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behaviour 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.
Preface Introduction Jeffrey A. Frankel, Giampaolo Galli, Alberto Giovannini. 1: Risk and Turnover in the Foreign Exchange Market Philippe Jorion Comment: Bernard Dumas 2: Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information David A. Hsieh, Allan W. Kleidon. Comment: Zhaohui Chen Comment: Antti Suvanto 3: Interdealer Trade and Information Flows in a Decentralized Foreign Exchange Market William Perraudin, Paolo Vitale. Comment: Silverio Foresi Comment: Alan Kirman 4: One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System Charles Goodhart, Takatoshi Ito, Richard Payne. Comment: Richard K. Lyons 5: Foreign Exchange Volume: Sound and Fury Signifying Nothing? Richard K. Lyons Comment: Mark D. Flood Comment: Antonio Mello 6: Dynamic Hedging and the Interest Rate Defense Peter M. Garber, Michael G. Spencer. Comment: Richard K. Lyons 7: Heterogenous Behavior in Exchange Rate Crises Fabio C. Bagliano, Andrea Beltratti, Guiseppe Bertola. Comment: Lorenzo Bini-Smaghi Comment: Richard K. Lyons 8: Exchange Rate Economics: What's Wrong with the Conventional Macro Approach? Robert P. Flood, Mark P. Taylor. Comment: Andrew K. Rose Comment: Lars E. O. Svensson 9: Is There a Safe Passage to EMU? Evidence on Capital Controls and a Proposal Barry Eichengreen, Andrew K. Rose, Charles Wyplosz. Comment: Jose Vinals Contributors Author Index Subject Index
| Erscheint lt. Verlag | 15.6.1996 |
|---|---|
| Reihe/Serie | National Bureau of Economic Research Conference Report |
| Zusatzinfo | 69 line drawings, 62 tables |
| Sprache | englisch |
| Maße | 163 x 235 mm |
| Gewicht | 652 g |
| Themenwelt | Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft |
| Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie | |
| Wirtschaft ► Volkswirtschaftslehre ► Mikroökonomie | |
| ISBN-10 | 0-226-26000-3 / 0226260003 |
| ISBN-13 | 978-0-226-26000-6 / 9780226260006 |
| Zustand | Neuware |
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