New Micro Exchange Rate Economics

        This is a new approach to exchange rate economics whose foundations lie in microeconomics. The focus of the approach is on dispersed information and how this type of information is aggregated via market processes. By dispersed information we mean bits of information about changing variables such as output, money demand, goods prices, consumption preferences, and risk preferences, all of which are relevant to exchange rate determination in extant models. Macroeconomic models do not allow for information of this type; rather, relevant information is either symmetric economy-wide, or, in some models, asymmetrically assigned to a single agent—the central bank. That the private sector might be solving a problem of dispersed information is not considered. In reality, there are countless bits of information that the exchange rate (as an asset price) needs to impound. Understanding the nature of this information problem and how it is solved is the essence of New Micro Exchange Rate Economics.  

 

Past Conference Websites

Norges Bank September 2005

Warwick University Business School, May 2005 and June 2006

Bank of Canada, October 2006

Central Bank of Hungary, September 2007

 

 

FAQs

For answers to frequently asked questions about New Micro research, click here.

Data

       The data samples used to produce the empirical results in published papers by Martin Evans and Richard Lyons are available here. The underlying raw data from the Reuters D2001 dealing system can be downloaded here. This dataset covers direct inter-dealer transactions in 9 currencies vs. the dollar. For a complete description of the data, see The Microstructure of Foreign Exchange Dynamics.  The zip file contains 9 Gauss data files (one for each currency pair) and a "readme" file describing the format of the datasets. Please note: (i) the size of the zip file is 7.56MB, (ii) the Gauss data files were created with Gauss V5.0, and (iii) the data is not available as ascii files.

 

Researchers

Below is a partial list of researchers working on projects encompassed by New Micro Exchange Rate Economics. Click on a name to see some of the working papers authored by each researcher. Please note that a more up-to-date version of the paper may be available on the author's website.

 

 

Ates

Aguiar

Andersen

Bacchetta

Bauer

Bauwens

Bjønnes

Bollerslev

Brandt

 Canales-K

Cao

Carlson

Carpenter

Chaboud

Chari

Cheung

Chinn

Cohen

Corsetti

Danielsson

De Jong

Derviz

Devereux

Diebold

Ding

Dominguez

D’Souza

Eom

Engel

Evans

Fan

Fatum

Fischer

Fleming

Francis

Froot

Galati

Gehrig

Godichal

Goodhart

Green

Guembel

Hartmann

Hasan

Hau

Hunter

Ito

Kaul

Kavajecz

Killeen

 

Kim

King

Klitgaard

Karoui

Kouki

Liao

Lo

Love

Luo

Lyons

MacDonald

McGroarty

Mahieu

Manzan

Marsh

Massa

Melvin

Mende

Menkhoff

Moore

Morris  

Moulton

O’Connell
Omrane

Osler

 

Pasquariello

Payne

Pesenti

Phylaktis

Portes

Ramadorai

Ranaldo

Rey

Rzepkowski

Richards

Rime

Romeu

Roubini

Sapp

Sarno

Scalia

Scarrat

Schotman

Shin

Simonov

Siourounis

Solheim

Sussman

Tarashev

Taylor

 

Tien

Underwood

van Leeuwen

van Wincoop

Vega

Vitale

Wada

Wang

Warnock

Wei

Weir

Wen

Westerhoff

Wright

Yang

Yao

 

Papers

Aysegul Ates (CFTC) Email

    Ates, Aysegul and George H. K. Wang (2005), Liquidity and Price Discovery on Floor versus Screen-Based Trading Systems: An Analysis of Foreign Exchange Futures Markets, typescript, January

Back to top

Mark Aguiar (University of Chicago) Email

Aguiar, M. (2001), Informed speculation and the choice of exchange rate regime, typescript, August.

          Back to top

 

Torben Andersen (Northwestern University) Email

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2002), Micro effects of macro announcements: Real-time price discovery in foreign exchange, NBER Working Paper 8959, May. forthcoming in the American Economic Review.

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2003), Micro effects of macro announcements: Real-time price discovery in the stock market, the bond market, and the foreign exchange market, typescript

          Back to top

 

Philippe Bacchetta (University of Lausanne) WebPage

Bacchetta, P., and E. van Wincoop (2002), Can information dispersion explain the exchange rate disconnect puzzle? Typescript, University of Virginia, October.

          Back to top

 

Gregory Bauer (University of Rochester) Email

Bauer, G., and C. Vega (2003), The monetary origins of asymmetric information in international equity markets, typescript, March.

Back to top

 

Luc Bauwens (CORE) 

Luc Bauwens and Genaro Scarrat  (2006), GENERAL TO SPECIFIC MODELLING OF EXCHANGE RATE VOLATILITY: A FORECAST EVALUATION

Back to top

 

Michel Beine (University of Brussels) Email

Beine, M., and C. Lecourt (2004), Reported and secret interventions in the foreign exchange markets, typescript, May.

Back to top

 

Geir Bjønnes (Norwegian School of Management) Email

 Bjønnes, G., D. Rime, and H. Solheim (2004), Liquidity provision in the overnight foreign exchange market, Journal of International Money and Finance, forthcoming.

Bjønnes, G., and D. Rime (2003), Dealer behavior and trading systems in the foreign exchange market, Journal of Financial Economics, forthcoming.

Bjønnes, G. H. and D. Rimes (2000), FXTrading...LIVE! Dealer Behavior and Trading Systems in Foreign Exchange Markets, typescript, Norwegian School of Management. 

Bjønnes, G. H. and D. Rimes (2001), Customer Trading and Information in Foreign Exchange Markets, typescript, Norwegian School of Management, January.  

Back to top

 

Tim Bollerslev (Duke University) Email

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2002), Micro effects of macro announcements: Real-time price discovery in foreign exchange, NBER Working Paper 8959, May, forthcoming in the American Economic Review.

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2003), Micro effects of macro announcements: Real-time price discovery in the stock market, the bond market, and the foreign exchange market, typescript. 

          Back to top

 

Michael Brandt (Wharton School) Email

Brandt, M., and K. Kavajecz (2002), Price discovery in the U.S. treasury market: The impact of order flow and liquidity on the yield curve, typescript, University of Pennsylvania.

         Back to top

 

Jorge Ivan Canales-Kriljenko (IMF) Email

Canales-Kriljenko, J. (2003), Foreign exchange market organization in selected developing and transition economies: Evidence from a survey, typescript, IMF, June.

         Back to top

  

Andrew Carpenter (UBS Warburg, Sydney)

Carpenter, A., and J. Wang (2003), Sources of private information in FX trading, typescript, University of New South Wales, January.

Back to top

 

Henry Cao (Kenan-Flagler School of Business) Email

Cao, H., Evans, M., and R. Lyons (2002), Inventory Information, typescript, Georgetown University, March.

           Back to top

           

John Carlson (Purdue University) Email

Carlson, J., and M. Lo (2003), One minute in the life of the DM/$: Public news in an electronic market, typescript, Purdue University, July.

Carlson, J. (2005), Making a market in foreign exchange, typescript, Purdue University, February.

Back to top

 

Alain Chaboud (Board of Governors of the Federal Reserve System) Email

Chaboud, A., D. Berger, S. Chernenko, E. Howorka, R. Iyer, D. Liu, J. Wright (2005), Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data, typescript, April.

Chaboud, A., and J. Wright (2003), Uncovered interest parity: It works, but not for long, International Finance Discussion Paper 752, January

          Back to top

 

Anusha Chari (University of Michigan) Email

Chari, A. (2002), Divine intervention? Speculators and central banks in the foreign exchange market, typescript, September.

Chari, A. (2002), An analysis of macroeconomic announcements across locations in the DM/dollar market, typescript, August.

          Back to top

 

Yin-Wong Cheung (University of California, Santa Cruz) Email

Cheung, Y., and M. Chinn (1999), Macroeconomic implications of the beliefs and behavior of foreign exchange traders, NBER Working Paper 7417.

          Back to top

 

Menzie Chinn (University of California, Santa Cruz) Email

Cheung, Y., and M. Chinn (1999), Macroeconomic implications of the beliefs and behavior of foreign exchange traders, NBER Working Paper 7417.

          Back to top

 

Benjamin Cohen (IMF) Email

Cohen, B., and H. Shin (2002), Positive feedback trading under stress: Evidence from the US treasury securities market, typescript, London School of Economics, August

          Back to top

 

Giancarlo  Corsetti (University of Rome) Email

Corsetti, G., P. Pesenti, and N. Roubini (2001), Does one Soros make a difference? The role of a large trader in currency crises, NBER Working Paper 8303.

          Back to top

 

Jon Danielsson (London School of Economics) Email

Danielsson, J., and R. Love (2004), Feedback trading, May.

Danielsson, J., and B. Saltoglu (2002), Anatomy of a market crash: A market microstructure analysis of the Turkish overnight liquidity crisis, November.

Danielsson, J., Payne, R., and J. Luo (2002), Exchange Rate Determination and Inter–Market Order Flow Effects, typescript, London School of Economics, August.

Back to top

 

Frank de Jong (University of Amsterdam) Email

De Jong, F., R. Mahieu, P. Schotman, and I. van Leeuwen (2001), Price discovery on foreign exchange markets with differentially informed traders, August.

Back to top

 

Alexis Derviz (Czech National Bank) Email  Webpage

Derviz, A., (2003), Asset return dynamics and the FX risk premium in a decentralized dealer market, European Economic Review, forthcoming

Derviz, A., (2002), Dealer quotes, order flow, and indirect foreign currency utility in a multiple dealership market, typescript, Czech National Bank, November.

Derviz, A., (2002), Components of the exchange risk premium in a multiple dealer FX market, typescript.

Derviz, A., (2001), Continuous Time Decision-Making in a Partially Decentralized Multiple Dealership Forex Market, and the Equilibrium Exchange Rate, typescript, Czech National Bank, April.

Back to top

 

Michael Devereux (University of British Columbia) Email

Devereaux, M. and C. Engel (2002), Exchange Rate Pass-Through, Exchange Rate Volatility, and Exchange Rate Disconnect, NBER Working Paper 8858.

           Back to top

                    

Francis Diebold (University of Pennsylvania)  Email

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2002), Micro effects of macro announcements: Real-time price discovery in foreign exchange, NBER Working Paper 8959, May, forthcoming in the American Economic Review

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2003), Micro effects of macro announcements: Real-time price discovery in the stock market, the bond market, and the foreign exchange market, typescript

          Back to top

 

Liang Ding (University of North Carolina at Chapel Hill)

Ding, L. (2005), Market Structure and Dealer’s Quoting Behavior in the Foreign Exchange Market, typescript

Back to top

 

Katherine Dominguez (University of Michigan) Email  Webpage

Dominguez, K. (2003), When do central bank interventions influence intradaily and longer-term exchange rate movements? NBER Working Paper 9875, July.

Dominguez, K. (2003), Book Review: The Microstructure Approach to Exchange Rates, forthcoming Journal of International Economics.

Dominguez, K. (1999), The market microstructure of central bank intervention, NBER Working Paper 7337, September.

          Back to top

                 

Chris D’Souza (Bank of Canada) Email

D’Souza, C. (2001), A Market Microstructure Analysis of FX Intervention in Canada, typescript, Bank of Canada, March.

          Back to top

 

Kyong Shik Eom (University of California, Berkeley) Email

Eom, K.S., S. Hahn, and S. Joo (2003), Partial Price Adjustment and Autocorrelation in Foreign Exchange Markets, typescript, UC Berkeley.

          Back to top


Charles Engel (University of Wisconsin) Email

Devereaux, M. and C. Engel (2002), Exchange Rate Pass-Through, Exchange Rate Volatility, and Exchange Rate Disconnect, NBER Working Paper 8858.

          Back to top

 

Mintao Fan (UC Berkeley) Email

Fan, M., and R. Lyons, Customer Trades and Extreme Events in Foreign Exchange, Forthcoming in Monetary History, Exchange Rates and Financial Markets: Essays in Honor of Charles Goodhart, Paul Mizen (ed.), Edward Elgar: Northampton, MA, USA, pages 160-179.

Back to top

 

Rasmus Fatum (University of Alberta) Email

Fatum, R., and M. King (2005), Rules Versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data, typescript, May.

Back to top

 

Andreas Fischer (Study Centre Gerzensee) Email

Fischer, A. (2004), Reuters news reports versus official interventions: The inaccuracy of Reuters reports for Swiss interventions, typescript, February.

Fischer, A. (2004), Price clustering in the FX market: A disaggregate analysis using central bank interventions, April.

          Back to top

 

Michael Fleming (Federal Reserve Bank of New York) Email

Fleming, M., (2002), Measuring treasury market liquidity, typescript, New York Federal Reserve Bank, September.

          Back to top

 

Bill Francis (University of South Florida) Email

Francis, B., I. Hasan, and D. Hunter (2003), Dynamic relations between international equity and currency markets: The role of currency order flow, typescript.

Back to top

 

Ken Froot (Harvard University) Email

Froot, K., and T. Ramadorai (2002), Currency returns, institutional investor flows, and exchange rate fundamentals, NBER Working Paper 9101, August.

Froot, K., and T. Ramadorai (2001), The Information Content of International Portfolio Flows NBER Working Paper 8472, September.

Back to top

 

Gabreile Galati (Bank for International Settlements) Email

Galati, G. (2000), Trading volumes, volatility, and spreads in FX markets: Evidence from emerging market countries, typescript, Bank for International Settlements.

          Back to top

 

Thomas Gehrig (University of Freiburg, Germany) Email

Gehrig, T., and L. Menkhoff (2000), The use of flow analysis in foreign exchange: Exploratory evidence, typescript, University of Freiburg, Germany, Journal of International Economics, forthcoming.

          Back to top

 

Charles Goodhart (London School of Economics) Email

Almeida, A., C. Goodhart, and R. Payne (1997), The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior, Financial Markets Group discussion paper No 258.

          Back to top

 

Clifton Green (Emory University) Email

Green, C., (2002), Economic news and the impact of trading on bond prices, typescript, Emory University, May, Journal of Finance.

Back to top

 

Frank McGroarty

Frank McGroarty, Owain ap Gwilym and Stephen Thomas (2006) The Components of Electronic Order-Driven Spot FX Bid-Ask Spreads Pre- and Post-EMU

Back to top

   

Alexander Guembel (Oxford University) Email

Guembel, A., and O. Sussman (2001), Optimal exchange rates: A market microstructure approach, typescript, Oxford University.

Back to top

 

Phillipe Hartmann (European Central Bank) Email

Hartmann, P., M. Manna, and A. Manzanares (2001), The microstructure of the euro money market, ECB Working Paper No. 80, October.

          Back to top

 

Iftekhar Hasan (Rensselaer Polytechnic) Email

Francis, B., I. Hasan, and D. Hunter (2003), Dynamic relations between international equity and currency markets: The role of currency order flow, typescript.

Back to top

 

Harald Hau (INSEAD) Email  Webpage

Hau, H., and H. Rey (2002), Exchange rates, equity prices, and capital flows, typescript, Princeton University, October.

Hau, H., and H. Rey (2004), Can portfolio rebalancing explain the dynamics of equity returns, equity flows, and exchange rates? American Economic Review, forthcoming.

Dunne, P., H. Hau, and M. Moore (2004), Macroeconomic order flows: Explaining equity and exchange rate returns, typescript, November.

Hau, H., M. Massa, J. Peress (2005), Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change, typescript, April

Back to top

           

Delroy Hunter (University of South Florida) Email

Francis, B., I. Hasan, and D. Hunter (2003), Dynamic relations between international equity and currency markets: The role of currency order flow, typescript

Back to top

 

Takatoshi Ito (University of Tokyo) Email

Ito, T., and Y. Hashimoto (2004), Microstructure of the yen/dollar foreign exchange market: Patterns of intraday activity revealed in the electronic broking system, NBER Working Paper 10856, October.

Back to top

 

Aditya Kaul (University of Alberta) Email

Kaul, A., and S. Sapp (2002), Y2K fears and safe haven trading of the U.S. dollar, typescript, University of Alberta, October.

Back to top

           

Kenneth Kavajecz (Wharton School) Email

Brandt, M., and K. Kavajecz (2002), Price discovery in the U.S. treasury market: The impact of order flow and liquidity on the yield curve, typescript, University of Pennsylvania.

          Back to top

 

William Killeen

Killeen, W., R. Lyons, and M. Moore (2001), Fixed versus flexible: Lessons from EMS order flow, NBER Working Paper 8491, September.

Back to top

 

Jungshik Kim (Kennedy School, Harvard University)

Wei, S., and J. Kim (1997), The big players in the foreign exchange market: Do they trade on information or noise? NBER Working Paper 6256.

Back to top

 

Michael King (Bank of Canada) Email

Fatum, R., and M. King (2004), Rules Versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data, typescript, October

 

Thomas Klitgaard (Federal Reserve Bank of New York) Email

Klitgaard, T., and L. Weir (2003), Speculators and Exchange Rates, typescript, Federal Reserve Bank of New York, January.

Back to top

 

Aymen Karoui

Aymen Karoui (2006),  The correlation between FX rate volatility and stock exchange returns volatility: An emerging markets overview

           Back to top

 

Imen Kouki

Imen Kouki (2006), Tunisian dealer behavior in FX market

           Back to top

 

Christelle Lecourt (University of Namur, Belgium) Email

Beine, M., and C. Lecourt (2004), Reported and secret interventions in the foreign exchange markets, typescript, May.

Back to top

 

Angel Liao

Angel Liao and Jonathan Williams (2006), Implications of news asymmetries in foreign exchange markets.

Back to top

 

Melody Lo (University of Southern Mississippi)

Carlson, J., and M. Lo (2003), One minute in the life of the DM/$: Public news in an electronic market, typescript, Purdue University, July.

Back to top

 

Ryan Love (London School of Economics) Email

Love, R., and R. Payne (2002), Macroeconomic news, order flows, and exchange rates, typescript, London School of Economics, December.

Danielsson, J., and R. Love (2004), Feedback trading, May

Back to top

 

Jinhui Luo (London School of Economics) Email

Luo, J. (2001), Market conditions, order flow and exchange rate determination, typescript, London School of Economics, December.

Back to top

 

Richard Lyons (U.C. Berkeley)

        Click here to go to Lyons' companion website on New Micro Exchange Rate Economics

          Back to top

 

Ronald Mahieu (Erasmus University) Email

De Jong, F., R. Mahieu, P. Schotman, and I. van Leeuwen (2001), Price discovery on foreign exchange markets with differentially informed traders, August.

          Back to top

 

Sebastiano Manzan (U. of Amsterdam)

Manzan, S., and F. Westerhoff (2002), Day traders, news arrival and exchange rate dynamics, typescript, University of Amsterdam.

          Back to top

 

Massimo Massa (INSEAD) Email

Massa, M., and A. Simonov (2001), Reputation and interdealer trading: A microstructure analysis of the treasury bond market, typescript, INSEAD, Journal of Financial Markets, forthcoming

        Back to top

          

Ian Marsh (Cass Business School, London)

Marsh, I., C. O’Rourke (2005), Customer Order Flow and Exchange Rate Movements: Is There Really Information Content? Typescript, April.

Back to top

 

Michael Melvin (Arizona State University) Email  Webpage

Gomez, M., and M. Melvin (2003), Explaining the euro exchange rates: The role of policy uncertainty, asymmetric information, and hedging opportunities, typescript, ASU, March.

Melvin, M. and L. Wen (2002), The choice of direct dealing or electronic brokerage in foreign exchange trading, typescript, Arizona State University, September.

Melvin, M. and B. Peiers (2002), The Global Transmission of Volatility in the Foreign Exchange Market, Typescript, Arizona State University.

Back to top

 

Alexander Mende (University of Hannover, Germany) Email

Mende, A., and L. Menkhoff (2003), Different counterparties, different foreign exchange trading? The perspective of a median bank, March.

Mende, A., and L. Menkhoff (2003), Tobin tax effects seen from the foreign exchange market’s microstructure, typescript, University of Hannover, Germany.

Mende, A., L. Menkhoff, and C. Osler (2004), Asymmetric information and the cross-section of currency spreads, typescript, Brandeis University, October.

          Back to top

 

Lukas Menkhoff (University of Hannover, Germany) Email  Webpage

Menkhoff, L., M. Schmeling (2005), Informed Trading in Limit Order Markets: Evidence on Trinary Order Choice, typescript, April.

Mende, A., L. Menkhoff, and C. Osler (2004), Asymmetric information and the cross-section of currency spreads, typescript, Brandeis University, October.*

Mende, A., and L. Menkhoff (2003), Different counterparties, different foreign exchange trading? The perspective of a median bank, March.

Mende, A., and L. Menkhoff (2003), Tobin tax effects seen from the foreign exchange market’s microstructure, typescript, University of Hannover, Germany.

Gehrig, T., and L. Menkhoff (2000), The use of flow analysis in foreign exchange: Exploratory evidence, typescript, University of Freiburg, Germany, Journal of International Economics, forthcoming.

          Back to top

 

Michael Moore (Queens University of Belfast, Northern Ireland) Email  Webpage

Michael Moore and Dagfinn Rime (2006), Euro-spreads: Dealer rents or illiquidity compensation?

Lyons, R., M. Moore (2005), An Information Approach To International Currencies, NBER Working Paper 112200

Dunne, P., H. Hau, and M. Moore (2004), Macroeconomic order flows: Explaining equity and exchange rate returns, typescript, November.

Killeen, W., R. Lyons, and M. Moore (2001), Fixed versus flexible: Lessons from EMS order flow, NBER Working Paper 8491, September.

          Back to top

 

Stephen Morris (Yale University) Email

Morris, S., and H. Shin (2000), Market risk with interdependent choice, typescript, London School of Economics.

          Back to top

 

Pamela Moulton (New York Stock Exchange) Email

     Moulton, P. (2003), You can’t always get what you want: Quantity choice in Liquidity, typescript, NYSE, October.

          Back to top

 

Paul O’Connell (State Street Associates) Email

     O’Connell, P., and M. Teo (2003), Prospect theory and institutional investors, typescript, October.

          Back to top

 

Walid Ben Omrane (Catholic University of Louvain, Belgium) Email

Walid Ben Omrane (2006), The Technical Signal Based Trading Effects on Volatility

Omrane, W.B., and A. Heinen (2003), The response of individual FX dealers’ quoting activity to macroeconomic news announcements, typescript, September.

          Back to top

 

Calor Osler (Federal Reserve Bank of New York)

Mende, A., L. Menkhoff, and C. Osler (2004), Asymmetric information and the cross-section of currency spreads, typescript, Brandeis University, October.

Oberlechner, T, and C. Osler (2004), Overconfidence in currency markets, typescript, Brandeis University, February.

Osler, C. (2002), Currency orders and exchange-rate dynamics: An explanation for the predictive success of technical analysis, Journal of Finance, forthcoming.

Osler, C. (2001), Predictable Order Flow and Exchange Rate Dynamics, typescript, Federal Reserve Bank of New York, May.

Osler, C. (2002), Stop-Loss  Orders  and  Price  Cascades in Currency Markets, typescript, Federal Reserve Bank of New York, April.

Back to top

 

Paolo Pasquariello (New York University) Email Webpage

Pasquariello, P., and C. Vega (2004), Informed and strategic order flow in the bond markets, typescript, November

Pasquariello, P. (2003), Imperfect competition, information heterogeneity, and financial contagion, typescript, January.

Pasquariello, P. (2002), Information or just noise? An analysis of currency returns in proximity of central bank interventions, typescript, November.

Pasquariello, P. (2002), Central bank intervention and the intraday process of price formation in currency markets, typescript, New York University.

Pasquariello, P. (2001), The microstructure of currency markets: An empirical model of intraday return and bid-ask spread behavior, typescript.

     Back to top

 

 

Kate Phylaktis  (City University Business School)

Kate Phylaktis and Long Chen (2006) Price discovery in indicative and transaction FX prices: A comparison of D2000-1 and EFX data

     Back to top

 

 

Richard Payne (London School of Economics) Email

Love, R., and R. Payne (2002), Macroeconomic news, order flows, and exchange rates typescript, London School of Economics, December.

Payne, R., and P. Vitale (2000), A transaction-level study of the effects of central bank intervention on exchange rates, typescript, London School of Economics      

Payne, R. (1999), Informed trade in spot foreign exchange markets: An empirical investigation, typescript, London School of Economics, January, Journal of International Economics, forthcoming.

Almeida, A., C. Goodhart, and R. Payne (1997), The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior, Financial Markets Group discussion paper No 258.

Back to top

   

Paolo Pesenti (Federal Reserve Bank of New York) Emaili

Corsetti, G., P. Pesenti, and N. Roubini (2001), Does one Soros make a difference? The role of a large trader in currency crises, NBER Working Paper 8303.

          Back to top

 

Richard Portes (London Business School) Email

      Portes, R., and H. Rey (1999), The determinants of cross-border equity flows, NBER Working Paper 7336.

          Back to top

 

Tarun Ramadorai (Harvard University) Email

Ramadorai, T. (2003), Persistence, performance, and prices in foreign exchange markets, typescript, Oxford University, May.

Froot, K., and T. Ramadorai (2002), Currency returns, institutional investor flows, and exchange rate fundamentals, NBER Working Paper 9101, August.

Froot, K., and T. Ramadorai (2001), The Information Content of International Portfolio Flows NBER Working Paper 8472, September.

Back to top

 

Angelo Ranaldo (Swiss National Bank)

Angelo Ranaldo (2006) Information Content and Predictability of Extreme Prices in Financial Markets

Back to top

 

Helene Rey (Princeton University) Email

Hau, H., and H. Rey (2004), Can portfolio rebalancing explain the dynamics of equity returns, equity flows, and exchange rates? American Economic Review, forthcoming.

Hau, H., and H. Rey (2002), Exchange rates, equity prices, and capital flows, typescript, Princeton University, October.

      Portes, R., and H. Rey (1999), The determinants of cross-border equity flows, NBER Working Paper 7336.

Back to top

 

Anthony Richards (Reserve Bank of Australia) Email

Richards, A. (2002), Big fish in small ponds: The positive feedback trading and price impact of foreign investors in Asian emerging equity markets, typescript, Reserve Bank of Australia.

Back to top

                 

Dagfinn Rime (University of OlsoEmail  Webpage

Michael Moore and Dagfinn Rime (2006), Euro-spreads: Dealer rents or illiquidity compensation?

Rime, D. (2000), Private or public information in foreign exchange markets?

 An empirical analysis , typescript, University of Oslo, March.

Rime, D. (2000), U.S. Exchange Rates and Currency Flows, typescript, University of Oslo, October.

Bjønnes, G. H. and D. Rimes (2000), FXTrading...LIVE! Dealer Behavior and Trading Systems in Foreign Exchange Markets, typescript, Norwegian School of Management. 

Bjønnes, G. H. and D. Rimes (2001), Customer Trading and Information in Foreign Exchange Markets, typescript, Norwegian School of Management, January.  

Rime, D. (2003), New Electronic Trading Trading Systems in Foreign Exchange Markets, typescript,Norwegian School of Management, January.

Bjønnes, G., and D. Rime (2003), Dealer behavior and trading systems in the foreign exchange market, Journal of Financial Economics, forthcoming.

Bjønnes, G., D. Rime, and H. Solheim (2004), Liquidity provision in the overnight foreign exchange market, Journal of International Money and Finance, forthcoming.

Back to top

 

Rafael Romeu (IMF)

Romeu, R. (2001) Parameter Stability in Foreign Exchange Market Microstructure, typescript, International Monetary Fund, February.

Romeu, R. (2003), An Intraday Pricing Model of Foreign Exchange Markets, typescript, International Monetary Fund.

 Back to top

 

Nouriel Roubini (New York University) Email

Corsetti, G., P. Pesenti, and N. Roubini (2001), Does one Soros make a difference? The role of a large trader in currency crises, NBER Working Paper 8303.

Back to top

 

Bronka Rzepkowski (CEPII, Paris)

Rzepkowski, B. (2004), Order flows, delta hedging and exchange rate dynamics, typescript.

Back to top

 

Stephen Sapp (University of Western Ontario) Email

Kaul, A., and S. Sapp (2002), Y2K fears and safe haven trading of the U.S. dollar, typescript, University of Alberta, October.

Lo, I., and S. Sapp (2005), Price Aggressiveness and Quantity: how are they determined in a limited order market? typescript, University of Western Ontario, August.

Back to top

 

      Lucia Sarno (University of Warwick, UK) Email

Sarno, L., and M. Taylor (2003), Foreign Exchange market Microstructure, chapter in The Economics of Exchange Rates, Cambridge University Press.

Leon, H., L. Sarno, and G. Valente (2003), Limits to speculation and non-linearity in deviations from UIP, typescript (preliminary draft).

Back to top

         

Antonio Scalia (Bank of Italy) Email

Scalia, A. (2003), Liquidity and volatility of central European currencies, typescript, Bank of Italy, July.

Scalia, A. (2004), Is foreign exchange intervention effective? Some micro-analytical evidence from Central Europe, typescript, Bank of Italy, August.

          Back to top

Genaro Scarrat (CORE) 

Luc Bauwens and Genaro Scarrat  (2006), GENERAL TO SPECIFIC MODELLING OF EXCHANGE RATE VOLATILITY: A FORECAST EVALUATION

Back to top

                          

Peter Schotman (University of Maastricht) Email

De Jong, F., R. Mahieu, P. Schotman, and I. van Leeuwen (2001), Price discovery on foreign exchange markets with differentially informed traders, August.

         Back to top

 

Hyun Shin (Oxford University) Email

Cohen, B., and H. Shin (2002), Positive feedback trading under stress: Evidence from the US treasury securities market, typescript, London School of Economics, August.

Morris, S., and H. Shin (2000), Market risk with interdependent choice, typescript, London School of Economics.

Back to top

 

Andrei Simonov (Stockholm School of Economics) Email

Massa, M., and A. Simonov (2001), Reputation and interdealer trading: A microstructure analysis of the treasury bond market, typescript, INSEAD, Journal of Financial Markets, forthcoming.

Back to top

 

Gregorios Siourounis (London Business School)

Siourounis, G. (2003), Capital flows and exchange rates: An empirical analysis, typescript, London Business School.

Back to top

 

Haakon Solheim (Central Bank of Norway)

Bjønnes, G., D. Rime, and H. Solheim (2004), Liquidity provision in the overnight foreign exchange market, Journal of International Money and Finance, forthcoming

Back to top

Oren Sussman (Oxford University) Email

Guembel, A., and O. Sussman (2001), Optimal exchange rates: A market microstructure approach, typescript, Oxford University

Back to top

 

Nikola Tarashev (Bank for International Settlements) Email

Tarashev, N. (2003), Currency crises and the informational role of interest rates, BIS Working Paper No. 135, September.

Back to top

 

Mark Taylor (University of Warwick, UK)

Sarno, L., and M. Taylor (2003), Foreign Exchange market Microstructure, chapter in The Economics of Exchange Rates, Cambridge University Press.

Sager m, and M. Taylor (2005), Under the Microscope: The Structure of the Foreign Exchange Market

Sager m, and M. Taylor (2005), Commercially Available Order Flow Data and Exchange Rate Movements: Caveat Emptor

 

          Back to top

 


Melvyn Teo (Singapore Management University)

O’Connell, P., and M. Teo (2003), Prospect theory and institutional investors, typescript, October.

Back to top

 

David Tien  (U.C. Berkeley) Webpage

Tien, D. (2002), Hedging Demand and Foreign Exchange Risk Premia, typescript, U.C. Berkeley, January.

          Back to top

 

Shane Underwood (Rice University)

Underwood, S. (2004), The Cross-Market Information Content of Stock and Bond Order Flow, typescript, October.

 

Irma van Leeuwen (Maastricht University) Email

De Jong, F., R. Mahieu, P. Schotman, and I. van Leeuwen (2001), Price discovery on foreign exchange markets with differentially informed traders, August.

          Back to top

 

Erik Van Wincoop Email

Bacchetta, P., and E. van Wincoop (2002), Can information dispersion explain the exchange rate disconnect puzzle? Typescript, University of Virginia, October.

          Back to top

 

 Clara Vega  (University of Pennsylvania) Email

 Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2002), Micro effects of macro announcements: Real-time price discovery in foreign exchange, NBER Working Paper 8959, May,forthcoming in the American Economic Review.

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2003), Micro effects of macro announcements: Real-time price discovery in the stock market, the bond market, and the foreign exchange market, typescript.

Bauer, G., and C. Vega (2003), The monetary origins of asymmetric information in international equity markets, typescript, March.

          Back to top

 

Paolo Vitale (Università degli Studi G. D'Annunzio) Email  Webpage

Breedon, F, and P. Vitale (2004), An empirical study of liquidity and information effects of order flow on exchange rates, typescript, July.

Vitale, P. (2004), A guided tour of the market microstructure approach to exchange rate determination, typescript, June.

Payne, R., and P. Vitale (2000), A transaction-level study of the effects of central bank intervention on exchange rates, typescript, London School of Economics 

Vitale, P. (2003), New Exchange Rate Economics, PhD course slides, Universita di Tor Vergata (Italy), December.                   

          Back to top

Ryosuke Wada  

Ryosuke Wada (2006) Optimal Spread with Heterogeneous Expectations in the Foreign Exchange Market

          Back to top

Jianxin Wang (University of New South Wales, Australia) Email

Carpenter, A., and J. Wang (2003), Sources of private information in FX trading, typescript, University of New South Wales, January.

Back to top

 

Francis E. Warnock (University of Virginia - Darden Graduate School of Business Administration)

Warnock, F., V. Warnock (2005), International Capital Flows and U.S. Interest Rates, typescript, September.

Back to top

 

Shang-Jin  Wei (International Monetary Fund) Email

Wei, S., and J. Kim (1997), The big players in the foreign exchange market: Do they trade on information or noise? NBER Working Paper 6256.

          Back to top

 

Laura Weir (Federal Reserve Bank of New York) Email

Klitgaard, T., and L. Weir (2003), Speculators and Exchange Rates, typescript, Federal Reserve Bank of New York, January.

          Back to top

 

Lin Wen (Arizona State University) Email

Melvin, M. and L. Wen (2002), The choice of direct dealing or electronic brokerage in foreign exchange trading, typescript, Arizona State University, September.

         Back to top

 

Frank Westerhoff (U. of Osnabrueck, Germany) Email

Manzan, S., and F. Westerhoff (2002), Day traders, news arrival and exchange rate dynamics, typescript, University of Amsterdam.

Back to top

 

Jonathan Wright (Board of Governors of the Federal Reserve System) Email

Chaboud, A., and J. Wright (2003), Uncovered interest parity: It works, but not for long, International Finance Discussion Paper 752, January.

          Back to top

 

Jing Yang (Bank of England) Email

Gradojevic, N., and J. Yang (2000), The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables, Bank of Canada Working paper 2000-23, December.

          Back to top

 

Jian Yao (Morgan Stanley, New York) Email

Yao, J. (1998), Market making in the interbank foreign exchange market, Working Paper #S-98-3, New York University Salomon Center.

Yao, J. (1998), Spread Components and Dealer Profits in the Interbank Foreign Exchange Market, Working Paper #S-98-4, NYU Salomon Center.

                Back to top