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Oil wealth and real exchange rates: The FEER for Norway

Akram, Q. Farooq - Norges Bank - 2004

equilibrium real exchange rate (FEER) approach. It is shown that the strength of the FEER depends on the share of imports that can … be financed by petroleum (based) revenues. Projections of the FEER over a long horizon suggest that the petroleum wealth … period. However, the FEER depreciates steadily over time with growth in imports relative to petroleum revenues and converges …

Persistent link: https://www.econbiz.de/10005292510

Foreign exchange market structure, players and evolution

King, Michael R.; Osler, Carol; Rime, Dagfinn - Norges Bank - 2011

Electronic trading has transformed foreign exchange markets over the past decade, and the pace of innovation only accelerates. This formerly opaque market is now fairly transparent and transaction costs are only a fraction of their former level. Entirely new agents have joined the fray,...

Persistent link: https://www.econbiz.de/10009292069

Arbitrage in the foreign exchange market: Turning on the microscope

Akram, Q. Farooq; Rime, Dagfinn; Sarno, Lucio - Norges Bank - 2005

This paper investigates the presence and characteristics of arbitrage opportunities in the foreign exchange market using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick frequency, obtained from Reuters on special...

Persistent link: https://www.econbiz.de/10005481439

Volume and Volatility in the FX Market: Does it matter who you are?

Bjonnes, Geir Hoidal; Rime, Dagfinn; Solheim, Haakon O. Aa. - Norges Bank - 2003

The relationship between volume and volatility has received much attention in the literature on financial markets. However, due to the lack of data, few results have been presented for the foreign exchange (FX) market. Furthermore, most studies contain only aggregate series, and cannot...

Persistent link: https://www.econbiz.de/10005063108

The market microstructure approach to foreign exchange - Looking back and looking forward

King, Michael R.; Osler, Carol; Rime, Dagfinn - Norges Bank - 2013

Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure researchers have produced empirically-driven models that fit the data...

Persistent link: https://www.econbiz.de/10010787782

The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence

Rime, Dagfinn; Tranvåg, Hans Jørgen - Norges Bank - 2012

Using the longest data set on FX order flow to date, along with the broadest coverage of currencies to date, we examine the effect of FX order flow on exchange rates across small and large currencies, currencies with floating or fixed regimes, and across both tranquil and turbulent periods. Over...

Persistent link: https://www.econbiz.de/10009391592

The international monetary system, 1844-1870: Arbitrage, efficiency, liquidity

Ugolini, Stefano - Norges Bank - 2010

This paper analyses the architecture of the international monetary system which preceded the international gold standard (1844-1870). It builds on a newly-created database made up of more than 100,000 weekly observations on exchange rates, interest rates, and bullion prices in the world’s six...

Persistent link: https://www.econbiz.de/10008739736

The Origins of Foreign Exchange Policy: The National Bank of Belgium and the Quest for Monetary Independence in the 1850s

Ugolini, Stefano - Norges Bank - 2010

Can the central bank of a small open economy be mandated with the maintenance of both fixed exchange rates and monetary independence, and still succeed in the long term? Looking at a pioneering experiment put in place by the National Bank of Belgium, this article shows how foreign exchange...

Persistent link: https://www.econbiz.de/10008739739

Revisiting the importance of non-tradable goods' prices in cyclical real exchange rate fluctuations

Bache, Ida Wolden; Næss, Kjersti; Sveen, Tommy - Norges Bank - 2009

In an influential paper Engel (1999. Accounting for U.S. Real Exchange Rate Changes, Journal of Political Economy 107, 507-538) argues that essentially all the flctuations in the real exchange rate can be attributed to fluctuations in the relative price of traded goods, and that only a small...

Persistent link: https://www.econbiz.de/10004990413

The role of house prices in the monetary policy transmission mechanism in small open economies

Bjørnland, Hilde C.; Jacobsen, Dag Henning - Norges Bank - 2009

We analyse the role of house prices in the monetary policy transmission mechanism in Norway, Sweden and the UK using structural VARs. A solution is proposed to the endogeneity problem of identifying shocks to interest rates and house prices by using a combination of short-run and long-run...

Persistent link: https://www.econbiz.de/10004992362