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Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks

Bjønnes, Geir Høidal; Holden, Steinar; Rime, Dagfinn; … - 2007

What is the role of "large players" like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information to smaller agents. In contrast, many observers argue that large players are...

Persistent link: https://www.econbiz.de/10012143649

Exchange Rate Forecasting, Order Flow and Macroeconomic Information

Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira - 2007

market, and the ability of microstructure models based on order flow to outperform a naive random walk benchmark. If order …

Persistent link: https://www.econbiz.de/10012143667

Asymmetric Information in the Interbank Foreign Exchange Market

Bjønnes, Geir Høidal; Osler, Carol; Rime, Dagfinn - 2008

This paper provides evidence of private information in the interdealer foreign exchange market. In so doing it provides support for the hypothesis that information is an important reason for the strong positive correlation between order flow and returns. It also provides evidence that...

Persistent link: https://www.econbiz.de/10012143705

Micro Approaches to Foreign Exchange Determination

Evans, Martin D. D.; Rime, Dagfinn - 2011

equilibrium, the traditional domain of microstructure research, and recent research that focuses on the link between currency …

Persistent link: https://www.econbiz.de/10012143770

The Flows of the Pacific: Asian Foreign Exchange Markets Through Tranquility and Turbulence

Rime, Dagfinn; Tranvåg, Hans Jørgen - 2012

Using the longest data set on FX order flow to date, along with the broadest coverage of currencies to date, we examine the effect of FX order flow on exchange rates across small and large currencies, currencies with floating or fixed regimes, and across both tranquil and turbulent periods. Over...

Persistent link: https://www.econbiz.de/10012143789

Exchange Rates, Interest Rates and the Global Carry Trade

Evans, Martin D. D.; Rime, Dagfinn - 2017

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/10012143913

Microstructure of Foreign Exchange Markets

Evans, Martin D.D.; Rime, Dagfinn - 2019

This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by … features are represented in microstructure models of FX trading. Next, we describe the links between microstructure and … provide a microstructure perspective on two recent areas of interest in exchange-rate economics: the behavior of returns on …

Persistent link: https://www.econbiz.de/10012143943

The microstructure of currency markets

Evans, Martin D. D. - 2010

Persistent link: https://www.econbiz.de/10009010304

Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market

Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - In: International journal of finance & economics : IJFE 16 (2011) 2, pp. 172-188

Persistent link: https://www.econbiz.de/10009159747

Probability of informed trading on the euro overnight market rate

Idier, Julien; Nardelli, Stefano - In: International journal of finance & economics : IJFE 16 (2011) 2, pp. 131-145

Persistent link: https://www.econbiz.de/10009159756