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Citations for "The Microstructure Approach to Exchange Rates"

by Richard K. Lyons

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  1. Markus Haberer, 2004. "Might a Securities Transactions Tax Mitigate Excess Volatility?: Some Evidence From the Literature," CoFE Discussion Paper 04-06, Center of Finance and Econometrics, University of Konstanz.
  2. Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers 12413, National Bureau of Economic Research, Inc.
  3. M. Beine & A. Bénassy-Quéré & E. Dauchy & R. MacDonald, 2002. "The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity," THEMA Working Papers 2002-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  4. Papaioannou, Elias & Portes, Richard & Siourounis, Gregorios, 2006. "Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar," CEPR Discussion Papers 5734, C.E.P.R. Discussion Papers.
  5. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley.
  6. Mende, Alexander, 2005. "09/11 on the USD/EUR Foreign Exchange Market," Hannover Economic Papers (HEP) dp-312, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  7. Markus Haberer, 2003. "Some Criticism of the Tobin Tax," CoFE Discussion Paper 03-01, Center of Finance and Econometrics, University of Konstanz.
  8. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
  9. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
  10. Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 06.04, Swiss National Bank, Study Center Gerzensee.
  11. Hau, Harald & Rey, Hélène, 2003. "Exchange Rates, Equity Prices and Capital Flows," CEPR Discussion Papers 3735, C.E.P.R. Discussion Papers.
  12. Gelman, Maria & Jochem, Axel & Reitz, Stefan & Taylor, Mark P., 2015. "Real financial market exchange rates and capital flows," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 50-69.
  13. Lucio Sarno & Giorgio Valente & Hyginus Leon, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," Review of Finance, European Finance Association, vol. 10(3), pages 443-482, September.
  14. Mauricio Villamizar-Villegas & David Perez-Reyna, 2015. "A Survey on the Effects of Sterilized Foreign Exchange Intervention," BORRADORES DE ECONOMIA 012424, BANCO DE LA REPÚBLICA.
  15. Eric van Wincoop & Philippe Bacchetta, 2004. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Econometric Society 2004 North American Winter Meetings 628, Econometric Society.
  16. Gregory H. Bauer & Clara Vega, 2006. "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers 872, Board of Governors of the Federal Reserve System (U.S.).
  17. Harald Hau & Helene Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," NBER Working Papers 10476, National Bureau of Economic Research, Inc.
  18. Ashima Goyal, 2006. "Incentives from exchange rate regimes in an institutional context," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2006-015r, Indira Gandhi Institute of Development Research, Mumbai, India.
  19. Alain P. Chaboud & Owen F. Humpage, 2005. "An assessment of the impact of Japanese foreign exchange intervention: 1991-2004," International Finance Discussion Papers 824, Board of Governors of the Federal Reserve System (U.S.).
  20. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Hannover Economic Papers (HEP) dp-351, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  21. Dominguez, Kathryn M.E. & Panthaki, Freyan, 2006. "What defines `news' in foreign exchange markets?," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 168-198, February.
  22. Philippe Bacchetta & Eric van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
  23. Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006. "The Returns to Currency Speculation," 2006 Meeting Papers 864, Society for Economic Dynamics.
  24. Seok Gil Park, 2007. "Solving Endogeneity in Assessing the Efficacy of Foreign Exchange Market Interventions," Caepr Working Papers 2007-004, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  25. Martin D.D. Evans & Richard K. Lyons, 2004. "A New Micro Model of Exchange Rate Dynamics," NBER Working Papers 10379, National Bureau of Economic Research, Inc.
  26. Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
  27. Menkhoff, Lukas & Schmeling, Maik, 2008. "Local information in foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1383-1406, December.
  28. Carol L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York.
  29. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
  30. Owen F. Humpage & Javiera Ragnartz, 2005. "Swedish intervention and the Krona float, 1993–2002," Working Paper 0514, Federal Reserve Bank of Cleveland.
  31. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2002. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," CEPR Discussion Papers 3281, C.E.P.R. Discussion Papers.
  32. Reitz, Stefan & Taylor, Mark P., 2006. "The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis," Discussion Paper Series 1: Economic Studies 2006,08, Deutsche Bundesbank, Research Centre.
  33. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
  34. Michel Beine & Oscar Bernal Diaz & Jean-Yves Gnabo & Christelle Lecourt, 2007. "Intervention Policy of the BoJ: a Unified Approach," Working Papers CEB 07-013.RS, ULB -- Universite Libre de Bruxelles.
  35. Takatoshi Ito & Yuko Hashimoto, 2006. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Working Papers 12682, National Bureau of Economic Research, Inc.
  36. Roberto Guimaraes, 2004. "Foreign Exchange Intervention And Monetary Policy In Japan: Evidence From Identified Vars," Money Macro and Finance (MMF) Research Group Conference 2004 8, Money Macro and Finance Research Group.
  37. Kathryn M.E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," NBER Working Papers 12953, National Bureau of Economic Research, Inc.
  38. Bernd Hayo & Ali M. Kutan, 2004. "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," William Davidson Institute Working Papers Series 2004-656, William Davidson Institute at the University of Michigan.
  39. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series 978, CESifo Group Munich.
  40. Thomas Gehrig & Lukas Menkhoff, 2005. "The Rise of Fund Managers in Foreign Exchange:Will Fundamentals Ultimately Dominate?," The World Economy, Wiley Blackwell, vol. 28(4), pages 519-540, 04.
  41. de Jong, Frank & Mahieu, Ronald J & Schotman, Peter C, 1999. "Price Discovery on Foreign Exchange Markets," CEPR Discussion Papers 2296, C.E.P.R. Discussion Papers.
  42. Michel Beine & Agnès Bénassy-Quéré & Hélène Colas, 2003. "Imitation Amongst Exchange-Rate Forecasters: Evidence from Survey Data," Working Papers 2003-08, CEPII research center.
  43. Kahn, Charles M. & Roberds, William, 2001. "The CLS bank: a solution to the risks of international payments settlement?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 54(1), pages 191-226, June.
  44. Bacchetta, Philippe & van Wincoop, Eric, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," CEPR Discussion Papers 5261, C.E.P.R. Discussion Papers.
  45. Ian Marsh & Menzie Chinn & Yin-Wong Cheung, 1999. "How do UK-Based Foreign Exchange Dealers Think Their Market Operates?," Working Papers wp99-21, Warwick Business School, Finance Group.
  46. Rafael Romeu & Lawrence Ausubel, 2005. "Bidder Participation and Information in Currency Auctions," IMF Working Papers 05/157, International Monetary Fund.
  47. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
  48. Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics.
  49. Alan J. Auerbach & Yuriy Gorodnichenko, 2015. "Effects of Fiscal Shocks in a Globalized World," NBER Working Papers 21100, National Bureau of Economic Research, Inc.
  50. Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016. "Uncovering the Portfolio Balance Channel with the use of Sovereign Credit Ratings," Borradores de Economia 941, Banco de la Republica de Colombia.
  51. Bronka Rzepkowski, 2003. "Order Flows, Delta Hedging and Exchange Rate Dynamics," Working Papers 2003-18, CEPII research center.
  52. Franklin Allen & James McAndrews & Philip Strahan, 2001. "E-Finance: An Introduction," Center for Financial Institutions Working Papers 01-36, Wharton School Center for Financial Institutions, University of Pennsylvania.
  53. Michel Beine & Oscar Bernal Diaz, 2007. "Why do Central Banks intervene secretly ?preliminary evidence of the BoJ," ULB Institutional Repository 2013/10421, ULB -- Universite Libre de Bruxelles.
  54. Yuko Hashimoto, 2004. "The Impact of the Japanese Banking Crisis on the Intraday FX Market," Econometric Society 2004 Far Eastern Meetings 679, Econometric Society.
  55. Gehrig, Thomas & Menkhoff, Lukas, 2004. "The use of flow analysis in foreign exchange: exploratory evidence," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 573-594, June.
  56. Evans, Martin D.D. & Lyons, Richard K., 2005. "Do currency markets absorb news quickly?," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 197-217, March.
  57. Cappiello, Lorenzo & De Santis, Roberto A., 2005. "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series 0529, European Central Bank.
  58. Chen, Shikuan & Chien, Chih-Chung & Chang, Ming-Jen, 2012. "Order flow, bid–ask spread and trading density in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 597-612.
  59. William P. Killeen & Richard K. Lyons & Michael J. Moore, 2001. "Fixed versus Flexible: Lessons from EMS Order Flow," NBER Working Papers 8491, National Bureau of Economic Research, Inc.
  60. Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market environment for credit default swap pricing," Kiel Working Papers 1946, Kiel Institute for the World Economy (IfW).
  61. Honohan, Patrick, 2003. "Avoiding the pitfalls in taxing financial intermediation," Policy Research Working Paper Series 3056, The World Bank.
  62. Carol L. Osler, 2001. "Currency orders and exchange-rate dynamics: explaining the success of technical analysis," Staff Reports 125, Federal Reserve Bank of New York.
  63. Takatoshi Ito & Yuko Hashimoto, 2004. "Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System," NBER Working Papers 10856, National Bureau of Economic Research, Inc.
  64. Alexei Deviatov & Igor Dodonov, 2006. "Exchange-rate volatility, exchange-rate disconnect, and the failure of volatility conservation," Working Papers w0079, Center for Economic and Financial Research (CEFIR).
  65. Montoro, Carlos & Ortiz, Marco, 2016. "Foreign exchange intervention and monetary policy design: a market microstructure analysis," Working Papers 2016-008, Banco Central de Reserva del Perú.
  66. Alexis Derviz, 2003. "FOREX Microstructure, Invisible Price Determinants,and the Central Bank's Understanding of Exchange Rate Formation," Working Papers 2003/06, Czech National Bank, Research Department.
  67. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society.
  68. Martin D. D. Evans, 2002. "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 57(6), pages 2405-2447, December.
  69. Sandra Lechner & Ingmar Nolte, 2009. "Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform," Working Papers wp09-01, Warwick Business School, Finance Group.
  70. Oscar Bernal Diaz & Jean-Yves Gnabo, 2007. "Talks, financial operations or both? Generalizing central banks' FX reaction functions," DULBEA Working Papers 07-03.RS, ULB -- Universite Libre de Bruxelles.
  71. De Grauwe, Paul & Grimaldi, Marianna, 2006. "Exchange rate puzzles: A tale of switching attractors," European Economic Review, Elsevier, vol. 50(1), pages 1-33, January.
  72. Alain P. Chaboud & Owen F. Humpage, 2003. "An analysis of Japanese foreign exchange interventions, 1991-2002," Working Paper 0309, Federal Reserve Bank of Cleveland.
  73. Otavio De Medeiros, 2005. "Order Flow and Exchange Rate Dynamics in Brazil," Finance 0503019, EconWPA.
  74. Paul de Grauwe & Roberto Dieci & Marianna Grimaldi, 2005. "Fundamental and Non-Fundamental Equilibria in the Foreign Exchange Market. A Behavioural Finance Framework," CESifo Working Paper Series 1431, CESifo Group Munich.
  75. Gehrig, Thomas & Menkhoff, Lukas, 2003. "Technical Analysis in Foreign Exchange - The Workhorse Gains Further Ground," Hannover Economic Papers (HEP) dp-278, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  76. Ashima Goyal, 2006. "Exchange Rate Regimes: Middling Through," Global Economic Review, Taylor & Francis Journals, vol. 35(2), pages 153-175.
  77. Gustavo Adler & Noemie Lisack & Rui Mano, 2015. "Unveiling the Effects of Foreign Exchange Intervention; A Panel Approach," IMF Working Papers 15/130, International Monetary Fund.
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