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The Microstructure of Foreign Exchange Markets
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Edited by:
Jeffrey A. Frankel
Language:
English
Published/Copyright:
1996
About this book
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.
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.
Topics
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ix |
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Alberto Giovannini, Giampaolo Galli and Jeffrey A. Frankel Requires Authentication Unlicensed Licensed |
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I. TRADING VOLUME, ASYMMETRIC INFORMATION, THE BID, AND THE ASK
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Philippe Jorion Requires Authentication Unlicensed Licensed |
19 |
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Allan W. Kleidon and David A. Hsieh Requires Authentication Unlicensed Licensed |
41 |
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Paolo Vitale and William Perraudin Requires Authentication Unlicensed Licensed |
73 |
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Richard Payne, Takatoshi Ito and Charles Goodhart Requires Authentication Unlicensed Licensed |
107 |
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Richard K. Lyons Requires Authentication Unlicensed Licensed |
183 |
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II. SPECULATION, EXCHANGE RATE CRISES, AND MACROECONOMIC FUNDAMENTALS
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Michael G. Spencer and Peter M. Garber Requires Authentication Unlicensed Licensed |
209 |
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Giuseppe Bertola, Andrea Beltratti and Fabio C. Bagliano Requires Authentication Unlicensed Licensed |
229 |
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Mark P. Taylor and Robert P. Flood Requires Authentication Unlicensed Licensed |
261 |
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Charles Wyplosz, Andrew K. Rose and Barry Eichengreen Requires Authentication Unlicensed Licensed |
303 |
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333 |
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337 |
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341 |
Publishing information
Pages and Images/Illustrations in book
eBook published on:
May 15, 2009
eBook ISBN:
9780226260235
Pages and Images/Illustrations in book
Main content:
356
Other:
69 line drawings, 62 tables
eBook ISBN:
9780226260235
Keywords for this book
markets; economics; economy; money; finances; exchange; financial market; macroeconomics; microstructure approach; institutions; institutional context; participants; behavior; transactions; traders; trade; volatility; nontransparency; asymmetric information; liquidity trading; automated brokers; derivative; systemic risk; foreign; turnover; risks; interdealer; decentralized; hedging; capital controls; reuters
Audience(s) for this book
Professional and scholarly;
