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The Microstructure Approach to Exchange Rates

In: The Theory And Empirics Of Exchange Rates

Author

Listed:
  • Imad A Moosa

    (Monash University, Australia)

  • Razzaque H Bhatti

    (Gulf University for Science and Technology, Kuwait)

Abstract

The following sections are included:Macroeconomic Models: Failure and AlternativesThe Microstructure Models of Exchange RatesAssumptions of Microstructure ModelsExchange Rate Determination in Microstructure ModelsInformation Models versus Inventory ModelsFactors Affecting Exchange Rates in Microstructure ModelsOrder FlowThe Bid–Offer SpreadThe Microstructure Solution to the Determination PuzzleThe Microstructure Solution to the Excess Volatility PuzzleThe Microstructure Solution to the Forward Bias PuzzleThe Statistician's Perspective on Forward BiasThe Economist's Perspective on Forward BiasThe Practitioner's Perspective: Limits to SpeculationA Simple Explanation: Model MisspecificationRecapitulation

Suggested Citation

  • Imad A Moosa & Razzaque H Bhatti, 2009. "The Microstructure Approach to Exchange Rates," World Scientific Book Chapters, in: The Theory And Empirics Of Exchange Rates, chapter 10, pages 292-323, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812839541_0010
    as

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