This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

It is well known that the interest rate differential predicts currency returns. However, we argue in a present-value model that the real exchange rate is also key to understanding currency returns. We find that a missing risk premium, which is closely related to the real exchange rate, explains...

We study the expectations of individual forecasters in the foreign exchange market. We find that the survey risk premium is less countercyclical than the rational risk premium, primarily because it is not related to the forward premium. We also find that forecasters learn from their own forecast...