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The market microstructure approach to foreign exchange: Looking back and looking forward
King, Michael R.; Osler, Carol L.; Rime, Dagfinn - In: Journal of International Money and Finance 38 (2013) C, pp. 95-119
, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure researchers have … exchange rate dynamics. Looking forward, we highlight fundamental yet unanswered questions on the nature of private information …
Persistent link: https://www.econbiz.de/10010719330
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The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward
King, Michael; Osler, Carol; Rime, Dagfinn - Department of Economics, International Business School, … - 2012
, heterogeneity among agents, and private information are crucial determinants of short-run exchange rate dynamics. Microstructure … questions on the nature of private information, the impact on market liquidity, and the changing process of price discovery. We …
Persistent link: https://www.econbiz.de/10010896681
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The market microstructure approach to foreign exchange - Looking back and looking forward
King, Michael R.; Osler, Carol; Rime, Dagfinn - Norges Bank - 2013
, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure researchers have … exchange rate dynamics. Looking forward, we highlight fundamental yet unanswered questions on the nature of private information …
Persistent link: https://www.econbiz.de/10010787782
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The interdealer market and the central bank intervention
Albuquerque, Paula - ISEG - School of Economics and Management, Department … - 2005
This paper studies the consequences of having either an interventionist or a non-interventionist central bank in the foreign exchange market, in a market microstructure framework. Although a simple one-period model is used, it allows the characterization of the effect of the central bank...
Persistent link: https://www.econbiz.de/10005592998
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Is it Efficient to Impose Costs on Small-Volume Equity Traders?
Clyde, Paul - In: International Journal of the Economics of Business 6 (1999) 1, pp. 81-92
A securities market that imposes higher trading costs on small-volume traders may reduce free-riding on information … in socially beneficial information and engage in costly monitoring of managers of firms in their portfolio.V arious … freeriding activity may improve overall market efficiency despite a potentially negative impact on information dissemination. …
Persistent link: https://www.econbiz.de/10005437910
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The Epps effect revisited
Toth, Bence; Kertesz, Janos - In: Quantitative Finance 9 (2009) 7, pp. 793-802
We analyse the dependence of stock return cross-correlations on the data sampling frequency, known as the Epps effect: for high-resolution data the cross-correlations are significantly smaller than their asymptotic value as observed for daily data. The former description implies that a changing...
Persistent link: https://www.econbiz.de/10008466739
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Information and the Existence of Stationary Markovian Equilibrium
Karatzas, Ioannis; Shubik, Martin; Sudderth, William D. - Cowles Foundation for Research in Economics, Yale University - 2000
is a random variable. Apart from regularity assumptions, there are two crucial conditions: (i) low information -- agents …
Persistent link: https://www.econbiz.de/10005087407
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Geldpolitik in den USA - die Fed in der Zinsfalle?
Illing, Gerhard - In: Ifo Schnelldienst 57 (2004) 06, pp. 31-37
Seit dem Einbruch der Aktienmärkte Anfang 2000 hat die Fed durch massive Liquiditätszufuhr versucht, die amerikanische Wirtschaft zu stabilisieren. Ein wesentliches Motiv war die Befürchtung, die amerikanische Wirtschaft könne in eine Liquiditätsfalle geraten. Motiviert von der...
Persistent link: https://www.econbiz.de/10005047003
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THE STOLPER-SAMUELSON THEOREM: LINKS TO DOMINANT DIAGONALS.
JONES, R.W.; MARJIT, S.; MITRA, T. - University of Rochester - Center for Economic Research … - 1990
Persistent link: https://www.econbiz.de/10005808116
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ПРОИЗВОДСТВЕННЫЕ ОТНОШЕНИЯ ЭКОНОМИЧЕСКОЙ СИСТЕМЫ ПОСТИНДУСТРИАЛЬНОГО МИРА
ГЕННАДИЕВИЧ, ДУДИН СЕРГЕЙ - In: Journal of Economic Regulation (Вопросы … 4 (2013) 3, pp. 8-13
В статье рассматривается вопрос изменений в социально-экономических формациях логистических потоков и производственных отношений экономической системы...
Persistent link: https://www.econbiz.de/10011227701