Fixed versus Flexible: Lessons from EMS Order Flow
Author
Abstract
Suggested Citation
Note: IFM
Download full text from publisher
Other versions of this item:
- Killeen, William P. & Lyons, Richard K. & Moore, Michael J., 2006. "Fixed versus flexible: Lessons from EMS order flow," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 551-579, June.
References listed on IDEAS
- Martin D.D. Evans & Richard K. Lyons, 2017.
"Order Flow and Exchange Rate Dynamics,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 6, pages 247-290,
World Scientific Publishing Co. Pte. Ltd..
- Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
- Evans, Martin D. & Lyons, Richard K., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance, Working Paper Series qt0dh1c16w, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
- Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley.
- Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
- Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005.
"Dealer behavior and trading systems in foreign exchange markets,"
Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
- Hoidal Bjonnes, Geir & Rime, Dagfinn, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," SIFR Research Report Series 17, Institute for Financial Research.
- Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper 2003/10, Norges Bank.
- Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
- Krugman, Paul & Miller, Marcus, 1993.
"Why have a target zone?,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 38(1), pages 279-314, June.
- Krugman, P. & Miller, M., 1992. "Why Have a Target Zone?," The Warwick Economics Research Paper Series (TWERPS) 394, University of Warwick, Department of Economics.
- Krugman, Paul & Miller, Marcus, 1992. "Why Have A Target Zone?," Economic Research Papers 268514, University of Warwick - Department of Economics.
- Krugman, Paul & Miller, Marcus, 1992. "Why Have a Target Zone?," CEPR Discussion Papers 718, C.E.P.R. Discussion Papers.
- Martin D. D. Evans, 2002. "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 57(6), pages 2405-2447, December.
- Flood, Robert P. & Rose, Andrew K., 1995.
"Fixing exchange rates A virtual quest for fundamentals,"
Journal of Monetary Economics, Elsevier, vol. 36(1), pages 3-37, August.
- Flood, R.P. & Rose, A.K., 1992. "Fixing Exchange Rates: A Virtual Quest for Fundamentals," Papers 529, Stockholm - International Economic Studies.
- Flood, Robert P & Rose, Andrew K, 1993. "Fixing Exchange Rates: A Virtual Quest for Fundamentals," CEPR Discussion Papers 838, C.E.P.R. Discussion Papers.
- Robert P. Flood & Andrew K. Rose, 1993. "Fixing Exchange Rates: A Virtual Quest for Fundamentals," NBER Working Papers 4503, National Bureau of Economic Research, Inc.
- Martin D. D. Evans, 2017.
"FX Trading and Exchange Rate Dynamics,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 5, pages 189-245,
World Scientific Publishing Co. Pte. Ltd..
- Martin Evans, 2000. "FX trading and Exchange Rate Dynamics," Working Papers gueconwpa~00-00-04, Georgetown University, Department of Economics.
- Martin D. D. Evans, 2001. "FX Trading and Exchange Rate Dynamics," NBER Working Papers 8116, National Bureau of Economic Research, Inc.
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- John A. Carlson & Carol L. Osler, 1996.
"Rational speculators and exchange rate volatility,"
Staff Reports
13, Federal Reserve Bank of New York.
- Carlson, J.A. & Olser, C.L., 1997. "Rational Speculators and Exchange Rate Volatility," Papers 97-005, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
- Baxter, Marianne & Stockman, Alan C., 1989. "Business cycles and the exchange-rate regime : Some international evidence," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 377-400, May.
- Harald Hau & William Killeen & Michael Moore, 2002. "How has the euro changed the foreign exchange market? [‘The distribution of realized exchange rate volatility’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 17(34), pages 149-192.
- Richard K. Lyons, 2006. "The Microstructure Approach to Exchange Rates," MIT Press Books, The MIT Press, edition 1, volume 1, number 026262205x, April.
- Jeffrey A. Frankel & Andrew K. Rose, 1994.
"A Survey of Empirical Research on Nominal Exchange Rates,"
NBER Working Papers
4865, National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel and Andrew K. Rose., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers C95-051, University of California at Berkeley.
- Frankel, Jeffrey A. & Rose, Andrew K., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers 233409, University of California-Berkeley, Department of Economics.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Lyons, Richard K., 1995.
"Tests of microstructural hypotheses in the foreign exchange market,"
Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
- Richard K. Lyons., 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," Research Program in Finance Working Papers RPF-230, University of California at Berkeley.
- Richard K. Lyons, 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," NBER Working Papers 4471, National Bureau of Economic Research, Inc.
- Roberto Rigobon, 1999. "On the Measurement of the International Propagation of Shocks," NBER Working Papers 7354, National Bureau of Economic Research, Inc.
- Frankel, Jeffrey A. & Rose, Andrew K., 1995. "Empirical research on nominal exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 33, pages 1689-1729, Elsevier.
- Giancarlo Corsetti & Paolo Pesenti & Nouriel Roubini, 2002.
"The Role of Large Players in Currency Crises,"
NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 197-268,
National Bureau of Economic Research, Inc.
- Giancarlo Corsetti & Paolo Pesenti & Nouriel Roubini, 2001. "The Role of Large Players in Currency Crises," NBER Working Papers 8303, National Bureau of Economic Research, Inc.
- French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
- Michael B. Devereux & Charles Engel, 2001.
"The Optimal Choice of Exchange Rate Regime: Price-Setting Rules and Internationalized Production,"
NBER Chapters, in: Topics in Empirical International Economics: A Festschrift in Honor of Robert E. Lipsey, pages 163-194,
National Bureau of Economic Research, Inc.
- Michael B. Devereux & Charles Engel, 1999. "The Optimal Choice of Exchange-Rate Regime: Price-Setting Rules and Internationalized Production," NBER Working Papers 6992, National Bureau of Economic Research, Inc.
- Michael Devereux & Charles Engel, 2000. "The Optimal Choice of Exchange-Rate Regime: Price-Setting Rules and Internationalized Production," Discussion Papers in Economics at the University of Washington 0022, Department of Economics at the University of Washington.
- Michael Devereux & Charles Engel, 2000. "The Optimal Choice of Exchange-Rate Regime: Price-Setting Rules and Internationalized Production," Working Papers 0022, University of Washington, Department of Economics.
- Cheung, Y. -W. & Chinn, M. D., 1998.
"Integration, cointegration and the forecast consistency of structural exchange rate models,"
Journal of International Money and Finance, Elsevier, vol. 17(5), pages 813-830, October.
- Yin-Wong Cheung & Menzie Chinn, 1995. "Integration, cointegration and the forecast consistency of structural exchange rate models," International Finance 9508002, University Library of Munich, Germany.
- Yin-Wong Cheung & Menzie D. Chinn, 1997. "Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models," NBER Working Papers 5943, National Bureau of Economic Research, Inc.
- Froot, Kenneth A. & Obstfeld, Maurice, 1991.
"Exchange-rate dynamics under stochastic regime shifts : A unified approach,"
Journal of International Economics, Elsevier, vol. 31(3-4), pages 203-229, November.
- Kenneth A. Froot & Maurice Obstfeld, 1989. "Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach," NBER Working Papers 2835, National Bureau of Economic Research, Inc.
- Froot, Kenneth & Obstfeld, Maurice, 1991. "Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach," CEPR Discussion Papers 522, C.E.P.R. Discussion Papers.
- Alexander Gümbel & Oren Sussman, 2001. "Optimal exchange-rates: a market-microstructure approach," OFRC Working Papers Series 2001fe13, Oxford Financial Research Centre.
- Hau, Harald & Killeen, William & Moore, Michael, 2002. "The euro as an international currency: explaining puzzling first evidence from the foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 351-383, June.
- Olivier Jeanne & Andrew K. Rose, 2002.
"Noise Trading and Exchange Rate Regimes,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(2), pages 537-569.
- Jeanne, Olivier & Rose, Andrew K, 1999. "Noise Trading and Exchange Rate Regimes," CEPR Discussion Papers 2142, C.E.P.R. Discussion Papers.
- Olivier Jeanne & Andrew K Rose, 1999. "Noise trading and exchange rate regimes," Reserve Bank of New Zealand Discussion Paper Series G99/2, Reserve Bank of New Zealand.
- Olivier Jeanne & Andrew K. Rose, 1999. "Noise Trading and Exchange Rate Regimes," NBER Working Papers 7104, National Bureau of Economic Research, Inc.
- Moore, Michael J. & Roche, Maurice J., 2001.
"Liquidity in the forward exchange market,"
Journal of Empirical Finance, Elsevier, vol. 8(2), pages 157-170, May.
- Michael J Moore; & Maurice Roche, 1995. "Liquidity in the Forward Exchange Market," Economics Department Working Paper Series n580795, Department of Economics, National University of Ireland - Maynooth.
- Jeffrey A. Frankel & Giampaolo Galli & Alberto Giovannini, 1996. "The Microstructure of Foreign Exchange Markets," NBER Books, National Bureau of Economic Research, Inc, number fran96-1.
- Diamond, Douglas W. & Verrecchia, Robert E., 1981. "Information aggregation in a noisy rational expectations economy," Journal of Financial Economics, Elsevier, vol. 9(3), pages 221-235, September.
- Lyons, Richard K., 1997. "A simultaneous trade model of the foreign exchange hot potato," Journal of International Economics, Elsevier, vol. 42(3-4), pages 275-298, May.
- Osler, C. L., 1998. "Short-term speculators and the puzzling behaviour of exchange rates," Journal of International Economics, Elsevier, vol. 45(1), pages 37-57, June.
- Rime,D., 2000. "Private or public information in foreign exchange markets? : an empirical analysis," Memorandum 14/2000, Oslo University, Department of Economics.
- Payne, Richard, 2003. "Informed trade in spot foreign exchange markets: an empirical investigation," Journal of International Economics, Elsevier, vol. 61(2), pages 307-329, December.
- Moore, Michael & Hau, Harald & Killeen, William, 2000. "The Euro as an International Currency: Explaining Puzzling First Evidence," CEPR Discussion Papers 2510, C.E.P.R. Discussion Papers.
- Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
- Carrera, Jose M., 1999. "Speculative attacks to currency target zones: A market microstructure approach," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 555-582, December.
- Alexander Guembel & Oren Sussman, 2004. "Optimal Exchange Rates: A Market Microstructure Approach," Journal of the European Economic Association, MIT Press, vol. 2(6), pages 1242-1274, December.
- Hansen, Bruce E, 2002.
"Tests for Parameter Instability in Regressions with I(1) Processes,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
- Hansen, Bruce E, 1992. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 321-335, July.
- Philippe Jorion, 1996. "Risk and Turnover in the Foreign Exchange Market," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 19-40, National Bureau of Economic Research, Inc.
- Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992.
"Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-287, July.
- Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
- Alexander Guembel & Oren Sussman, 2001. "Optimal exchange-rates: a market-microstructure approach," Economics Series Working Papers 2001-FE-13, University of Oxford, Department of Economics.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- Hau, Harald, 1998. "Competitive Entry and Endogenous Risk in the Foreign Exchange Market," The Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 757-787.
- Cai, Jun & Cheung, Yan-Leung & Lee, Raymond S. K. & Melvin, Michael, 2001. "'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 327-347, June.
- Carlson, John A. & Osler, C. L., 2000. "Rational speculators and exchange rate volatility1," European Economic Review, Elsevier, vol. 44(2), pages 231-253, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Richard K. Lyons, 2002.
"Foreign exchange: macro puzzles, micro tools,"
Economic Review, Federal Reserve Bank of San Francisco, pages 51-69.
- Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
- H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017.
"Inventory Information,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413,
World Scientific Publishing Co. Pte. Ltd..
- H. Henry Cao & Martin D. Evans & Richard K. Lyons, 2006. "Inventory Information," The Journal of Business, University of Chicago Press, vol. 79(1), pages 325-364, January.
- Martin D.D. Evans, H. Henry Cao, Richard K. Lyons, 2003. "Inventory Information," Working Papers gueconwpa~03-03-33, Georgetown University, Department of Economics.
- H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc.
- Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
- Martin D.D. Evans & Richard K. Lyons, 2004.
"A New Micro Model of Exchange Rate Dynamics,"
NBER Working Papers
10379, National Bureau of Economic Research, Inc.
- Rich Lyons & Martin Evans, 2004. "A New Micro Model of Exchange Rate Dynamics," Econometric Society 2004 North American Winter Meetings 622, Econometric Society.
- Martin D. D. Evans & Richard K. Lyons, 2017.
"How is Macro News Transmitted to Exchange Rates?,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 14, pages 547-596,
World Scientific Publishing Co. Pte. Ltd..
- Evans, Martin D.D. & Lyons, Richard K., 2008. "How is macro news transmitted to exchange rates?," Journal of Financial Economics, Elsevier, vol. 88(1), pages 26-50, April.
- Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
- Harald Hau & Hélène Rey, 2006.
"Exchange Rates, Equity Prices, and Capital Flows,"
The Review of Financial Studies, Society for Financial Studies, vol. 19(1), pages 273-317.
- Harald Hau & Helene Rey, 2002. "Exchange Rate, Equity Prices and Capital Flows," NBER Working Papers 9398, National Bureau of Economic Research, Inc.
- Rey, Hélène & Hau, Harald, 2003. "Exchange Rates, Equity Prices and Capital Flows," CEPR Discussion Papers 3735, C.E.P.R. Discussion Papers.
- Martin D.D. Evans & Richard K. Lyons, 2017.
"Order Flow and Exchange Rate Dynamics,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 6, pages 247-290,
World Scientific Publishing Co. Pte. Ltd..
- Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
- Evans, Martin D. & Lyons, Richard K., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance, Working Paper Series qt0dh1c16w, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
- Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley.
- Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
- Gehrig, Thomas & Menkhoff, Lukas, 2004.
"The use of flow analysis in foreign exchange: exploratory evidence,"
Journal of International Money and Finance, Elsevier, vol. 23(4), pages 573-594, June.
- Gehrig, Thomas & Menkhoff, Lukas, 2003. "The use of flow analysis in foreign exchange: exploratory evidence," Hannover Economic Papers (HEP) dp-276, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Schmeling, Maik, 2008.
"Local information in foreign exchange markets,"
Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1383-1406, December.
- Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Osler, Carol L., 2005.
"Stop-loss orders and price cascades in currency markets,"
Journal of International Money and Finance, Elsevier, vol. 24(2), pages 219-241, March.
- Carol L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York.
- Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005.
"Dealer behavior and trading systems in foreign exchange markets,"
Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
- Hoidal Bjonnes, Geir & Rime, Dagfinn, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," SIFR Research Report Series 17, Institute for Financial Research.
- Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper 2003/10, Norges Bank.
- King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013.
"The market microstructure approach to foreign exchange: Looking back and looking forward,"
Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
- Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
- Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper 2013/12, Norges Bank.
- Cheung, Yin-Wong & Chinn, Menzie David, 2001.
"Currency traders and exchange rate dynamics: a survey of the US market,"
Journal of International Money and Finance, Elsevier, vol. 20(4), pages 439-471, August.
- Yin-Wong Cheung & Menzie D. Chinn, 2000. "Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market," CESifo Working Paper Series 251, CESifo.
- Philippe Bacchetta & Eric Van Wincoop, 2006.
"Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?,"
American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June.
- Eric van Wincoop & Philippe Bacchetta, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," NBER Working Papers 9498, National Bureau of Economic Research, Inc.
- Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
- Bacchetta, Philippe & van Wincoop, Eric, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," CEPR Discussion Papers 3808, C.E.P.R. Discussion Papers.
- Eric van Wincoop & Philippe Bacchetta, 2004. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Econometric Society 2004 North American Winter Meetings 628, Econometric Society.
- repec:bla:jfinan:v:58:y:2003:i:5:p:1791-1820 is not listed on IDEAS
- Martin D. D. Evans & Richard K. Lyons, 2017.
"Are Different-Currency Assets Imperfect Substitutes?,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 10, pages 415-456,
World Scientific Publishing Co. Pte. Ltd..
- Martin D. D. Evans & Richard K. Lyons, 2000. "Are Different-Currency Assets Imperfect Substitutes?," Working Papers gueconwpa~00-00-05, Georgetown University, Department of Economics.
- Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series 978, CESifo.
- Osler, Carol L. & Mende, Alexander & Menkhoff, Lukas, 2011.
"Price discovery in currency markets,"
Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1696-1718.
- Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Hannover Economic Papers (HEP) dp-351, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
- Mende, Alexander & Menkhoff, Lukas, 2006.
"Profits and speculation in intra-day foreign exchange trading,"
Journal of Financial Markets, Elsevier, vol. 9(3), pages 223-245, August.
- Mende, Alexander & Menkhoff, Lukas, 2006. "Profits and Speculation in Intra-Day Foreign Exchange Trading," Hannover Economic Papers (HEP) dp-339, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Paolo Vitale, 2007.
"A Guided Tour Of The Market Microstructure Approach To Exchange Rate Determination,"
Journal of Economic Surveys, Wiley Blackwell, vol. 21(5), pages 903-934, December.
- Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers.
- Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
More about this item
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2001-10-01 (European Economics)
- NEP-IFN-2001-10-01 (International Finance)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:8491. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/nberrus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.