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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - 2009
Persistent link: https://www.econbiz.de/10003887408
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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - In: Journal of international money and finance 28 (2009) 8, pp. 1317-1330
Persistent link: https://www.econbiz.de/10003929178
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Bank of England interest rate announcements and the foreign exchange market
Melvin, Michael; Saborowski, Christian; Sager, Michael; … - 2009
. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate … macroeconomic news effects on the foreign exchange market. We find evidence for non-linear regime switching between a high-volatility …, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to …
Persistent link: https://www.econbiz.de/10003831967
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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - 2009
implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blowʺ narrative is …
Persistent link: https://www.econbiz.de/10003861767
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The term structure of forward exchange premia and the forecastability of spot exchange rates : correcting the errors
Clarida, Richard H. - 1993
Persistent link: https://www.econbiz.de/10000874096
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The term structure of forward exchange rates and the forecastability of spot exchange rates : correcting the errors
Clarida, Richard H.; Taylor, Mark P. - 1992
Persistent link: https://www.econbiz.de/10000845274
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New developments in exchange rate economics
Sarno, Lucio (contributor); Taylor, Mark P. (contributor) - 2002
Persistent link: https://www.econbiz.de/10001645260
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On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates
Reitz, Stefan; Ruelke, Jan-Christoph; Taylor, Mark P. - 2010
This paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate in the sense that...
Persistent link: https://www.econbiz.de/10003964417
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On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates
Reitz, Stefan; Ruelke, Jan-Christoph; Taylor, Mark P. - In: The economic record : er 87 (2011), pp. 465-479
Persistent link: https://www.econbiz.de/10009317762
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End-user order flow and exchange rate dynamics : a dealer's perspective
Reitz, Stefan; Schmidt, Markus A.; Taylor, Mark P. - In: The European journal of finance 17 (2011) 1/2, pp. 153-168
Persistent link: https://www.econbiz.de/10009155453