Research Catalog

The microstructure of foreign exchange markets

Title: The microstructure of foreign exchange markets / edited by Jeffrey A. Frankel, Giampaolo Galli, and Alberto Giovannini.
Publication: Chicago, Ill. : Univerity of Chicago Press, [1996], ©1996.

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Status	Format	Access	Call Number	Item Location
Request for On-site Use Request Scan How do I pick up this item and when will it be ready?	Text	Request in advance	HG205 .M53 1996	Off-site

Additional Authors

Description

x, 346 pages : illustrations; 24 cm.

Summary

The foreign exchange market is the largest, fastest-growing financial market in the world, featuring approximately $1.3 trillion worth of transactions everyday. Yet conventional macroeconomic approaches do not even attempt to explain why people trade foreign exchange. At the same time, they fail at the task that they do set for themselves, accounting for the short-run determinants of the exchange rate.
These nine innovative essays use a microstructure approach to analyze the working 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 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 systematic risk in the market. This timely volume will be essential reading for anyone interested in international finance.

Series Statement

A National Bureau of Economic Research conference report

Uniform Title

Conference report (National Bureau of Economic Research)

Subject

Note

Papers from a conference sponsored by the Bank of Italy, the National Bureau of Economic Research of Cambridge, USA, and the Centre for Economic Policy Research of London, UK, was held at S.A.DI.BA., the Banca d'Italia's conference center in Perugia, Italy, on July 1-2, 1994.

Bibliography (note)

Contents

Introduction / Jeffrey A. Frankel, Giampaolo Galli and Alberto Giovannini -- 1. Risk and Turnover in the Foreign Exchange Market / Philippe Jorion -- 2. Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information / David A. Hsieh and Allan W. Kleidon -- 3. Interdealer Trade and Information Flows in a Decentralized Foreign Exchange Market / William Perraudin and Paolo Vitale -- 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 and Richard Payne -- 5. Foreign Exchange Volume: Sound and Fury Signifying Nothing? / Richard K. Lyons -- 6. Dynamic Hedging and the Interest Rate Defense / Peter M. Garber and Michael G. Spencer -- 7. Heterogenous Behavior in Exchange Rate Crises / Fabio C. Bagliano, Andrea Beltratti and Guiseppe Bertola -- 8. Exchange Rate Economics: What's Wrong with the Conventional Macro Approach? / Robert P. Flood and Mark P. Taylor --
9. Is There a Safe Passage to EMU? Evidence on Capital Controls and a Proposal / Barry Eichengreen, Andrew K. Rose and Charles Wyplosz.

ISBN

0226260003 (alk. paper)

LCCN

95043757

OCLC

Owning Institutions

Columbia University Libraries