Topic
Foreign exchange market
About: Foreign exchange market is a research topic. Over the lifetime, 6661 publications have been published within this topic receiving 153384 citations. The topic is also known as: forex & FX.
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TL;DR: In this article, it is shown that within the microstructure of the market there exists a nanostructure that becomes visible only when the computations are performed without approximation, which is called the phase portrait from chaos theory.
Abstract: Economists have begun using methods borrowed from the physical sciences to search for non-linearities in economic and financial data. The so-called phase portrait from chaos theory, in which the values of a time-series are plotted against their delayed values, is one of the techniques employed for this purpose. It has recently been shown, however, that when returns on traded assets are plotted in this manner in two- or three-dimensional space, surprising patterns arise which seriously distort the conclusions that can be drawn about the underlying data. These patterns – which resemble a compass rose – reflect the microstructure of the market or, more specifically, the finite size of the “ticks” by which prices can change in a market. The present paper clarifies the reason for this phenomenon. It is shown that within the microstructure there exists nanostructure that becomes visible only when the computations are performed without approximation. High frequency data from a foreign exchange market are used to illustrate this phenomenon.
40 citations
TL;DR: In this article, the impact of foreign exchange market efficiency of the 1992 European financial market crisis by studying precrisis, crisis, and postcrisis periods is investigated, and long-term relationships among European currency values are identified during the three periods.
40 citations
TL;DR: In this article, the efficiency ranking of gold markets with respect to the currency of purchase was investigated and it was shown that gold prices in major currencies lay among the least efficient ones whereas very minor currencies are among the most efficient ones.
Abstract: Gold and currency markets form a unique pair with specific interactions and dynamics. We focus on the efficiency ranking of gold markets with respect to the currency of purchase. By utilizing the Efficiency Index (EI) based on fractal dimension, approximate entropy and long-term memory on a wide portfolio of 142 gold price series for different currencies, we construct the efficiency ranking based on the extended EI methodology we provide. Rather unexpected results are uncovered as the gold prices in major currencies lay among the least efficient ones whereas very minor currencies are among the most efficient ones. We argue that such counterintuitive results can be partly attributed to a unique period of examination (2011–2014) characteristic by quantitative easing and rather unorthodox monetary policies together with the investigated illegal collusion of major foreign exchange market participants, as well as some other factors discussed in some detail.
40 citations
Posted Content•
01 Nov 2008
TL;DR: In this paper, the authors discuss the cost and benefits of running an international currency and the potential implications of the euro's international status for central banks' reserve holdings for portfolio returns and the so-called "exorbitant privilege".
Abstract: This report discusses the cost and benefits of running an international currency. It starts by discussing the effect of the euro's internationalization on financial markets, and presents data on the impact of the single currency on private credit. It considers recent work on the effect of the euro on financial integration and the implications of the euro's rising internationalization on the liquidity premium. Then it turns to the vehicle currency role of the euro and presents some results using new data from the latest BIS Triennial Survey on the foreign exchange market. Concerning the direct benefits of running an international currency, the report first offers estimates on the likely gains from international seigniorage and discuss work on the effects of the internationalization of the euro on the terms of trade and invoicing patterns in international trade. The implications of the international role of the euro for portfolio returns and the so-called âexorbitant privilegeâ are analysed in detail. The effects of the single currency on exchange rate volatility are also considered. It summarizes recent research on the impact of the euro on global bond and equity and analyzes the potential implications of the euro's international status for central banks' reserve holdings. Finally, it turns to the effects of the euro on the stability of domestic money demand and the problems posed for monetary policy, and the implications for international financial stability.
40 citations
TL;DR: In this paper, weak and semi-strong form efficiency of the foreign exchange market in Sri Lanka using six bilateral foreign exchange rates during the recent float was examined using unit root tests and variance decomposition analysis.
Abstract: This study tests weak and semi-strong form efficiency of the foreign exchange market in Sri Lanka using six bilateral foreign exchange rates during the recent float. Weak-form efficiency is examined using unit root tests while semi-strong form efficiency is tested using co- integration and Granger causality tests and variance decomposition analysis. Results indicate that the Sri Lankan foreign exchange market is consistent with the weak -form of the Efficient Market Hypothesis. However, the results provide evidence against the semi - strong version of the Efficient Market hypothesis. These results have important implications for government policy makers and participants in the foreign exchange market of Sri Lanka.
40 citations