Foreign Exchange Market Intervention: Market Microstructure Models and Empirical Investigations
Erschienen am 10. Januar 2019
233 Seiten
978-1-5361-4711-7 (ISBN)
Beschreibung
Foreign Exchange Market Intervention: Market Microstructure Models and Empirical Investigations investigates the effectiveness of government intervention from the market microstructure perspective, especially focusing on its impact concerning the setting of bid-ask exchange rates (from the Plaza Agreement to the Louvre Accord). The authors test the effect of intervention on the dealer's behavior in controlling his/her inventory to set the quotation of exchange rates. The authors also examine the relative importance of the inventory cost in three components of the bid-ask spread. Finally, they analyze the impact of intervention on a spread. This book develops new econometric models which have produced results for sound FOREX and financial management strategies. This book is multi-disciplinary, technical and specialized, but focused on contemporary and emerging issues in FOREX and financial markets in addressing the issues of financial markets and for theory and hypothesis development which have general implications for finance theory.
Weitere Details
Weitere Ausgaben
Inhalt
- Intro
- Foreign Exchange Market Intervention
- Foreign Exchange Market Intervention
- Contents
- Preface
- Acknowledgments
- Chapter 1
- Introduction
- 1.1. Market Microstructure and Foreign Exchange Intervention
- 1.2. Contributions of the Book
- 1.3. Organization of the Book
- 1.4. Empirical Results, Implications and Findings
- Chapter 2
- Foreign Exchange Intervention
- 2.1. The Foreign Exchange Market
- 2.2. Foreign Exchange Intervention
- 2.2.1. Type of Government Intervention
- 2.2.2. The Theory of Foreign Exchange Intervention
- 2.2.2.1. Purchasing Power Parity
- 2.2.2.2. The Mundell-Fleming Model
- 2.2.2.3. The Flexible-Price Monetary Model
- 2.2.2.4. The Sticky-Price Monetary Model
- 2.2.2.5. The Portfolio Balance Model
- 2.2.2.6. Stock-Flow Interaction in Portfolio Models of the
- Exchange Rate
- 2.2.3. The Objective of Government Intervention
- 2.2.4. Unilateral and Coordinated Central Bank Intervention
- 2.2.4.1. Bretton Woods Era
- 2.2.4.2. September 1971 - 1974
- 2.2.4.3. October 1974 - 1981
- 2.2.4.4. 1981 - 1987
- 2.2.4.5. 1988 - 1994
- 2.3. Price Expectation
- 2.4. Inventory Models
- 2.5. The Impact of the Intervention on the Inventory-Control Mechanism
- Chapter 3
- The Impact of Intervention on the Inventory-Control Mechanism
- 3.1. Sources of Data
- 3.2. The Empirical Analysis
- 3.2.1. Dummy Variable
- 3.2.2. Size of Intervention Variable
- 3.3. The Events of Intervention from 1985 to 1987
- 3.3.1. Pre-Plaza Agreement
- 3.3.2. Louvre Accord
- Conclusion
- Chapter 4
- The Bid-Ask Spread: The Market Microstructure Perspective
- 4.1. Concepts
- 4.2. The Components of the Bid-Ask Spread
- 4.3. Factors That Influence the Bid-Ask Spread
- 4.4. The Volatility of Exchange Rates
- 4.5. Price Changes Due to the Spread
- Chapter 5
- The Empirical Decomposition of the Bid-Ask Spread for Exchange Rates
- 5.1. Sources of Data
- 5.2. The Empirical Procedure
- 5.3. Results
- 5.4. The Components of the Bid-Ask Spread
- 5.5. Reverse Tick Test as an Alternative to Transaction Prices
- 5.5.1. The Empirical Procedure
- 5.5.2. Results
- 5.6. Huang and Stoll's General Approach for the Components of the Bid-Ask Spread
- 5.6.1. The Model
- 5.6.2. The Empirical Procedure
- 5.6.3. The Results
- Chapter 6
- Government Intervention on the Spread
- 6.1. Stationarity Testing
- 6.2. Dummy Variable
- 6.3. Size of Intervention Variable
- 6.4. Event Study
- Conclusion
- Chapter 7
- Findings: Foreign Exchange Intervention Effectiveness
- 7.1. Foreign Exchange Intervention Issues
- 7.2. The Empirical Results and the Implications for Intervention
- 7.3. Major Contributions of Book
- Appendices
- Appendix 1. Derivation of Serial Covariances (Stoll, 1989)
- Appendix 2. Sterilized and Nonsterilized Intervention (Humpage, 1989)
- Appendix 3. Decomposition of Determinants of Bid-Ask Spread: the Assumptions Underlying the Method of Least Squares
- Linearity
- All Dealers
- Asia
- Europe
- Equality of Variance (Homoscedasticity)
- All Dealers
- Asia
- Europe
- Independence of Error
- All Dealers
- Asia
- Europe
- Normality
- All Dealers
- Asia
- Europe
- Appendix 4. Calculation of Price Reversal ((), Inventory Holding Cost ((), and Adverse Selection Cost (()
- Appendix 5. GMM Results for Banks Located in London, New York, and Hongkong
- Appendix 6. Zivot and Andrew's Unit Roots Test Result
- Appendix 7. Event Study
- References
- About the Authors
- Index
- Blank Page
- Blank Page
