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 paper, the authors studied the signalling role of secret sterilised foreign exchange intervention using a market micro-structure framework and found that the foreign exchange market is more efficient when this objective is secret than when it is common knowledge, because the central bank is more aggressive and reveals more of its private information.
122 citations
01 Jan 2004
TL;DR: This paper analyzed the impact of foreign participation and high concentration levels on Latin American bank spreads during the late 1990s and found that foreign banks were able to charge lower spreads relative to domestic banks.
Abstract: Increasing foreign participation and high concentration levels characterize the recent evolution of banking sectors' market structures in developing countries. We analyze the impact of these factors on Latin American bank spreads during the late 1990s. Our results suggest that foreign banks were able to charge lower spreads relative to domestic banks. This was more so for de novo foreign banks than for those that entered through acquisitions.The overall level of foreign bank participation seemed to influence spreads indirectly, primarily through its effect on administrative costs. Bank concentration was positively and directly related to both higher spreads and costs.
122 citations
01 Jan 2002
TL;DR: The contribution of this research is the smart modeling of the prediction problem enabling the use of content rich text for forecasting purposes, which produces results that are significantly better than random prediction.
Abstract: We investigate how money market news headlines can be used to forecast intraday currency exchange rate movements The innovation of the approach is that, unlike analysis based on quantifiable information, the forecasts are produced from text describing the current status of world financial markets, as well as political and general economic news In contrast to numeric time series data textual data contains not only the effect (eg, the dollar rises against the Deutschmark) but also the possible causes of the event (eg, because of a weak German bond market) Hence improved predictions are expected from this richer input The output is a categorical forecast about currency exchange rates: the dollar moves up, remains steady or goes down within the next one, two or three hours respectively On a publicly available commercial data set the system produces results that are significantly better than random prediction The contribution of this research is the smart modeling of the prediction problem enabling the use of content rich text for forecasting purposes
121 citations
TL;DR: This article examined the implication of the cointegration literature for the efficiency of foreign exchange markets and showed that if currency markets are efficient, then two spot exchange rates cannot be cointegrated.
121 citations
TL;DR: In this article, the authors evaluate official foreign exchange intervention during the 1970s using Friedman's profit criterion and show that central banks have failed to stabilize the exchange markets and have lost billions of dollars.
Abstract: Evaluating official foreign exchange intervention during the 1970s using Friedman's profit criterion shows that central banks have failed to stabilize the exchange markets and have lost billions of dollars. The monetary authorities have resisted rate movements, which results in a misallocation of resources when there is a shift in the equilibrium exchange rate. Counterspeculation by exchange traders reduces the destabilizing effect of central-bank intervention and the consequent loss in economic welfare.
121 citations