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The Microstructure of Currency Markets

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Abstract

This article summarizes exchange-rate research using microstructure models. It first lays out the key features of the foreign exchange market and describes how they are incorporated into a canonical model of currency trading. The empirical implications of the model are then examined. The article also discusses how currency trading links spot rate dynamics to macroeconomic conditions, and how this link sheds light on some long standing puzzles concerning the behavior of exchange rates. Classification-JEL Codes:

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File URL: http://www8.georgetown.edu/departments/economics/pdf/1003.pdf
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Bibliographic Info

Paper provided by Georgetown University, Department of Economics in its series Working Papers with number gueconwpa~10-10-03.

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Date of creation: 10 Jul 2010
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Handle: RePEc:geo:guwopa:gueconwpa~10-10-03

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Postal: Georgetown University Department of Economics Washington, DC 20057-1036
Phone: 202-687-6074
Fax: 202-687-6102
Email:
Web page: http://econ.georgetown.edu/

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Postal: Marcia Suss Administrative Officer Georgetown University Department of Economics Washington, DC 20057-1036
Email:
Web: http://econ.georgetown.edu/

Related research

Keywords: Currency Trading; Exchange Rates; Exchange Rate Puzzles; Exchange Rate Fundamentals; Foreign Exchange Market; Microstructure; Order Flow; Risk Premium;

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