The development of Asian foreign exchange markets has progressed appreciably in recent years. Data from the BIS Triennial Central Bank Survey indicate that the turnover of Asian currencies rose sharply between 2004 and 2007, financial institutions became more important customers, and the...

This study examines profits and speculation in the USD/EUR trading of a bank in Germanyover a four-month period. Dealing activity at the bank generates profits but speculation doesnot seem to contribute to this. We find that speculative positions fail to become profitablewithin a 30-minutes'...

This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quanties the amount of commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns. The new liquidity measure utilizesultra high frequency...

Real effective exchange rate volatility is examined for 90 countries using monthlydata from January 1990 to June 2006. Volatility decreases with openness tointernational trade and per capita GDP, and increases with inflation, particularlyunder a horizontal peg or band, and with terms-of-trade...

In this paper, the influence of information costs on the integration of Northern European financial markets between ca. 1350 and 1560 is explored. The approach is based on splitting information costs into their constitutive components and on measuring one of these, i.e. the costs of transmitting...

This paper makes three contributions to our understanding of the price discovery process in currencymarkets. First, it provides evidence that this process cannot be the familiar one based on adverse selectionand customer spreads, since such spreads are inversely related to a trade’s likely...