We study the impact of Central Bank intervention on the process of price formation in currency markets. We use a unique dataset of tick-by-tick indicative quotes posted by dealers on Reuters terminals and of intraday sterilized spot interventions and customer transactions executed on behalf of...

We propose a novel theory of the impact of expected, non-secret, sterilized spot interventions on the microstructure of currency markets that focuses on their liquidity. We analyze the effectiveness of intervention operations in a model of sequential trading in which: i) a rational Central Bank...

We study the impact of Central Bank intervention on the microstructure of currency markets. We analyze the two major channels of effectiveness of currency management policies, imperfect substitutability and signaling, in a model of sequential trading in which the stylized monetary authority is a...

The objective of this paper is to provide a deeper insight into the links between financial markets and the real economy. To that end, we study the short-term anticipation and response of U.S. stock, Treasury, and corporate bond markets to the first release of U.S. macroeconomic information....

We study the impact of Central Bank intervention on the process of priceformation in currency markets. We use a unique dataset of tick-by-tick indicativequotes posted by dealers on Reuters terminals and of intraday sterilized spot interventions and customer transactions executed on behalf of the...

This study analyzes how three groups of market participants - insiders, analysts, and investors - revised their expected returns on New York Real Estate Investment Trusts (REITs) in response to the catastrophic events of September 11, 2001. The attack on the WTC represents a unique experimental...

The objective of this paper is to provide a deeper insight into the links between financial markets and the real economy. To that end, we study the short-term anticipation and response of U.S. stock, Treasury, and corporate bond markets to the first release of U.S. macroeconomic information....