Showing 1 - 10 of 249
To ensure financial market stabilities, many Latin America countries implemented pure floating and inflation targeting (FIT) policies following the IMF's suggestions. The effectiveness of such policies is under investigation. This paper examines the long-run relationship between the real...
Persistent link: https://www.econbiz.de/10013055919
This paper provides a microstructural explanation for the success of two familiar predictions from technical analysis: 1) trends tend to be reversed at predictable support and resistance levels, and 2) trends gain momentum once predictable support and resistance levels are crossed. ; The...
Persistent link: https://www.econbiz.de/10010283357
The aim of this paper is to establish the link between the high frequency dynamics of spot exchange rates and developments in the macroeconomy. To do so, I first present a theoretical model of exchange-rate determination that bridges the gap between existing microstructure and traditional...
Persistent link: https://www.econbiz.de/10013131076
We provide an overview of micro-based research using models of currency trading set in a partial equilibrium setting, and in the general equilibrium setting of modern macroeconomic models. In so doing we aim to dispel the myth that micro-based research is solely focused on the details of...
Persistent link: https://www.econbiz.de/10013131077
The framework presents how trading in the foreign commodity futures and domestic forward foreign exchange markets can affect the optimal spot positions of domestic commodity producers and traders. It generalizes the models of Kawai and Zilcha (1986) and Kofman and Viaene (1991) to allow both...
Persistent link: https://www.econbiz.de/10013131263
Micro-based exchange-rate research examines the determination and behavior of spot exchange rates in an environment that replicates the key features of trading in the foreign exchange (FX) market. Traditional macro exchange-rate models play little attention to how trading in the FX market...
Persistent link: https://www.econbiz.de/10013119949
This paper investigates the nature of observed deviations from the unbiased expectations hypothesis in the forward foreign exchange market. If these deviations are due to risk premia then the same premia should be observed in nominal bonds denominated in different currencies. This condition...
Persistent link: https://www.econbiz.de/10013119997
This study investigates the microeffects of macronews using customer price-contingent orders (i.e. stop-loss and take-profit orders) data from a large foreign exchange dealing bank in the pound/dollar market. Results reveal that price-contingent order placement intensifies 3-5 h prior to the...
Persistent link: https://www.econbiz.de/10013088364
We empirically examine how the global carry trade affects the dynamics of spot exchange rates and interest rates across 13 countries from 2000, through the world financial crisis, until the end of 2011. Our model identifies the weekly carry trade position in each currency by matching data on...
Persistent link: https://www.econbiz.de/10012952450
This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then explain how these features are represented in microstructure models of FX...
Persistent link: https://www.econbiz.de/10012891430