FX Trading and Exchange Rate Dynamics  

Oleh:

Evans, Martin D. D.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 6 (Dec. 2002), page 2405-2447.
Fulltext: p 2405.pdf (366.08KB)

Isi artikel

I examine the sources of exchange rate dynamics by focusing on the information structure of FX trading. This structure permits the existence of an equilibrium distribution of transaction prices at a point in time. I develop and estimate a model of the price distribution using data from the Deutsche mark0dollar market that produces two striking results: ~1! Much of the short-term volatility in exchange rates comes from sampling the heterogeneous trading decisions of dealers in a distribution that, under normal market conditions, changes comparatively slowly; ~2! public news is rarely the predominant source of exchange rate movements over any horizon.

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