The Microstructure of Currency Markets
AbstractThis 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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Bibliographic InfoPaper provided by Georgetown University, Department of Economics in its series Working Papers with number gueconwpa~10-10-03.
Date of creation: 10 Jul 2010
Date of revision:
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Postal: Georgetown University Department of Economics Washington, DC 20057-1036
Web page: http://econ.georgetown.edu/
Postal: Marcia Suss Administrative Officer Georgetown University Department of Economics Washington, DC 20057-1036
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-13 (All new papers)
- NEP-CBA-2011-07-13 (Central Banking)
- NEP-IFN-2011-07-13 (International Finance)
- NEP-MON-2011-07-13 (Monetary Economics)
- NEP-MST-2011-07-13 (Market Microstructure)
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