The Microstructure of Foreign Exchange Markets
2nd Edition
Published on 15. June 1996
Book
Hardback
356 pages
978-0-226-26000-6 (ISBN)
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 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.
More details
Series
Edition
2nd ed.
Language
English
Place of publication
Chicago
United States
Publishing group
The University of Chicago Press
Target group
College/higher education
Illustrations
69 line drawings, 62 tables
Dimensions
Height: 235 mm
Width: 163 mm
Weight
652 gr
ISBN-13
978-0-226-26000-6 (9780226260006)
Copyright in bibliographic data is held by Nielsen Book Services Limited or its licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Jeffrey A. Frankel | Giampaolo Galli | Alberto Giovannini
Microstructure of Foreign Exchange Markets
E-Book
05/2009
1st Edition
University of Chicago Press
€152.59
Available for download
Content
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