The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables … characteristics of market participants appear to trump macroeconomic considerations. The volatility indices and bid-ask spreads were … exchange rates. The forex returns, bid-ask spread, and volatility indices demonstrated less vulnerability towards Chinese …

. 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 …