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Anticipations Of Foreing Exchange Volatility And Bid Ask Spreads
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Book Synopsis Anticipations of Foreign Exchange Volatility and Bid-ask Spreads by : Shang-Jin Wei
Download or read book Anticipations of Foreign Exchange Volatility and Bid-ask Spreads written by Shang-Jin Wei and published by . This book was released on 1994 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an option model of the spread, but the magnitude is smaller. An increase in trading volume of spot exchange rates also widens the spread. The omission of the trading volume, however, does not bias the estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of the spread is close to linear, some form of nonlinearity can still be detected from the data.
Book Synopsis Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads by :
Download or read book Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads written by and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Anticipations of foreing exchange volatility and bid-ask spreads by : Shang-Jin Wei
Download or read book Anticipations of foreing exchange volatility and bid-ask spreads written by Shang-Jin Wei and published by . This book was released on 1994 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Derivatives and Hedge Funds by : Stephen Satchell
Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
Book Synopsis The Microstructure of Foreign Exchange Markets by : Jeffrey A. Frankel
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Book Synopsis The Microstructure of the Foreign Exchange Market by : Nikolaos Tsorakidis
Download or read book The Microstructure of the Foreign Exchange Market written by Nikolaos Tsorakidis and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered.
Book Synopsis Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis? by : Mr.Torbjorn I. Becker
Download or read book Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis? written by Mr.Torbjorn I. Becker and published by International Monetary Fund. This book was released on 2005-02-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bid-ask spreads for Asian emerging market currencies increased sharply during the Asian crisis. A key question is whether such wide spreads were excessive or explained by models of bid-ask spreads. Precrisis estimates of standard models show that spreads during the crisis were in most cases tighter than spreads predicted by the models and there are few cases of excessive spreads. The result is largely explained by the substantial increase in exchange rate volatility during the crisis and to some extent by the level change. The empirical models have greater explanatory power for emerging- than for mature-market currencies.
Book Synopsis Explaining the Bid-Ask Spread in the Foreign Exchange Market by : Sirimon Treepongkaruna
Download or read book Explaining the Bid-Ask Spread in the Foreign Exchange Market written by Sirimon Treepongkaruna and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper attempts to uncover the determinants of the dealer bid-ask spread in the foreign exchange market. Prior research has examined the Huang-Masulis model wherein the spread is modelled as a function of dealer competition and volatility. We first extend this model to a much larger set of quote data covering several currencies over five years. A more recent model of the bid-ask spread has been proposed (BSW) wherein the spread is modelled as a function of order-processing costs, inventory-holding costs, adverse selection and competition. This model has not previously been tested in the foreign exchange market and this study conducts such a test. We find general support for both models using individual currency samples and a pooled sample. Of note, we find strong evidence for the relevance of the inventory-holding premium on the size of the dealer bid-ask spread. To compare the two models we undertake out-of-sample forecasts of the spread and find evidence that favours the BSW model in the aggregated sample, while the evidence is mixed in relation to individual currencies.
Book Synopsis Bid-ask Spreads in Foreign Exchange Markets by : David Arthur Hsieh
Download or read book Bid-ask Spreads in Foreign Exchange Markets written by David Arthur Hsieh and published by . This book was released on 1994 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis FX Funding Risks and Exchange Rate Volatility–Korea’s Case by : Mr. Jack Ree
Download or read book FX Funding Risks and Exchange Rate Volatility–Korea’s Case written by Mr. Jack Ree and published by INTERNATIONAL MONETARY FUND. This book was released on 2012-11-07 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidences are strongly supportive of this.
Author :Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico Publisher : ISBN 13 :9789291319626 Total Pages :0 pages Book Rating :4.3/5 (196 download)
Book Synopsis Market Volatility and Foreign Exchange Intervention in EMEs by : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis FX Funding Risks and Exchange Rate Volatility–Korea’s Case by : Mr.Jack Ree
Download or read book FX Funding Risks and Exchange Rate Volatility–Korea’s Case written by Mr.Jack Ree and published by International Monetary Fund. This book was released on 2012-11-07 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidences are strongly supportive of this.
Book Synopsis Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework by : Romain Lafarguette
Download or read book Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework written by Romain Lafarguette and published by International Monetary Fund. This book was released on 2021-02-12 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Book Synopsis The Electronic Trading Systems and Bid-Ask Spreads in the Foreign Exchange Market by : Liang Ding
Download or read book The Electronic Trading Systems and Bid-Ask Spreads in the Foreign Exchange Market written by Liang Ding and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the impact of electronic trading systems on the bid-ask spreads in the foreign exchange market. The paper finds: First, both the Reuters system and EBS reduce spreads significantly; Second, the EBS is more influential than the Reuters system for the currency pair DEM/USD; Third, big dealers tend to quote relatively wider spreads to compensate for their loss of information advantage in the more transparent new systems; Fourth, dealers are more sensitive to volatility in the new systems; Fifth, geographical difference in market liquidity is reduced through the new systems, and finally, the effects occur immediately and persist in the long term. Thus, both proposed positive and negative impacts of the electronic systems are found to be true in this paper, but our findings also suggest that positive effects dominate and the electronic systems overall increase FX market liquidity.
Book Synopsis Bid-ask Spread Components on the Foreign Exchange Market by : Michael Frömmel
Download or read book Bid-ask Spread Components on the Foreign Exchange Market written by Michael Frömmel and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Were Bid-Ask Spreads in the Fx Market Excessive During the Asian Crisis? by : Trbjrn I. Becker
Download or read book Were Bid-Ask Spreads in the Fx Market Excessive During the Asian Crisis? written by Trbjrn I. Becker and published by . This book was released on 2005-02-01 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bid-ask spreads for Asian emerging market currencies increased sharply during the Asian crisis. a key question is whether such wide spreads were excessive or explained by models of bid-ask spreads. Precrisis estimates of standard models show that spreads during the crisis were in most cases tighter than spreads predicted by the models and there are few cases of excessive spreads. the result is largely explained by the substantial increase in exchange rate volatility during the crisis and to some extent by the level change. the empirical models have greater explanatory power for emerging- than for mature-market currencies.
Book Synopsis The Microstructure Approach to Exchange Rates by : Richard K. Lyons
Download or read book The Microstructure Approach to Exchange Rates written by Richard K. Lyons and published by MIT Press (MA). This book was released on 2001 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explaining the puzzling behavior of exchange rates using models from microstructure finance and data from electronic trading.
