A Guided Tour Of The Market Microstructure Approach To Exchange Rate Determination
AbstractWe propose a critical review of recent developments in exchange rate economics which have offered a novel approach to exchange rate determination. This new strand of research, the market microstructure approach to exchange rates, is motivated by some very stark empirical evidence, relating exchange rate dynamics to the imbalance in the sequence of purchases and sales of foreign currencies in the markets for foreign exchange. Through our review we outline the results this new strand of research has achieved alongside its open questions and future challenges. Copyright 2007 The Author. Journal compilation � 2007 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Economic Surveys.
Volume (Year): 21 (2007)
Issue (Month): 5 (December)
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Other versions of this item:
- Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers.
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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