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.
Papers published on a yearly basis
Papers
More filters
••
TL;DR: In this article, the adverse selection component of the foreign exchange spread is positively related to the variance of unexpected intervention and that expected intervention has no impact on the spread, while the intervention is decomposed into expected and unexpected components.
Abstract: An important group of traders in the foreign exchange market is governments who often adhere to a foreign exchange rate policy of occasional interventions with otherwise floating rates. In this article we provide a theoretical model and empirical evidence that government foreign exchange interventions create significant adverse selection problems for dealers. In particular, our model shows that the adverse selection component of the foreign exchange spread is positively related to the variance of unexpected intervention and that expected intervention has no impact on the spread. After controlling for inventory and order processing costs, we find that bid-ask spreads increase with U.S. dollar and German deutsche mark foreign exchange rate intervention during the period 1976-94. Furthermore, when the intervention is decomposed into expected and unexpected components, we find a statistically and economically significant increase in spreads with the variance of unexpected intervention, while expected intervention has no significant impact on spreads. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
108 citations
•
TL;DR: The authors argued that the International Monetary Fund, the institution responsible for coordinating the stability of foreign exchange rates, is ill-equipped to handle the widespread use of Bitcoins into the foreign exchange market and highlighted the inability of the Fund to intervene in the event of a speculative attack on a currency by Bitcoin users.
Abstract: This paper examines the potentially destabilizing effects of emerging digital currencies on the international foreign currency exchange. Specifically, it examines “Bitcoin,” a decentralized, partially anonymous, and largely unregulated digital currency that has become particularly popular in the last few years. The paper argues that the International Monetary Fund, the institution responsible for coordinating the stability of foreign exchange rates, is ill-equipped to handle the widespread use of Bitcoins into the foreign exchange market. It highlights the inability of the Fund to intervene in the event of a speculative attack on a currency by Bitcoin users. The paper concludes by suggesting two interpretations of the Fund’s incorporating document, the Articles of Agreement, which would allow it to intervene in the event of such an attack.
108 citations
••
TL;DR: In this article, the authors investigated the effect of exchange rate movements on particular German industrial prices and found that an 8.4 percent decline in the real external value of the Deutsche Mark from 1977 to 1983 allowed an upward movement of about 2 percent in domestic producer prices of traded goods relative to the GNP price deflator.
Abstract: This paper illustrates the importance of international influences on domestic markets. A model is presented in which changes in a country's terms of trade pass through to industrial prices in varying degrees depending on import penetration and seller concentration. Empirical results suggest that the 8.4 percent decline in the real external value of the Deutsche Mark from 1977 to 1983 allowed upward movement of about 2 percent in domestic producer prices of traded goods relative to the GNP price deflator. Increased market concentration led to a reduced effect, while increased import penetration led to some increase in the exchange rate passthrough. STANDARD INDUSTRIAL organization models stress the impact of market power and entry conditions on economic performance, with particular interest in price effects. At the industry level, greater concentration is expected to lead to higher prices, ceteris paribus, while greater ease in entry (or a larger "competitive fringe") implies lower prices. The international economics literature indicates that, in the absence of trade barriers, transactions and transportation costs, and market power, foreign exchange rate changes will be fully "passed through" to import and export prices, implying that domestic prices of "traded goods" for an appreciating currency will be adjusted downward by the full amount of the exchange rate change. The dramatic changes in exchange rates since the early 1970s provided exporters with new opportunities to enter markets of nations that had a "strong currency". West Germany has been regarded as one such country. This paper investigates the effect of exchange rate movements on particular German industrial prices. I test to see whether the prominence of imports
107 citations
•
TL;DR: In this paper, the authors used support and resistance levels provided to customers by six firms active in the foreign exchange market to predict intraday trend interruptions and found that the levels' predictive power varied across the exchange rates and firms examined.
Abstract: "Support" and "resistance" levels - points at which an exchange rate trend may be interrupted and reversed - are widely used for short-term exchange rate forecasting. Nevertheless, the levels' ability to predict intraday trend interruptions has never been rigorously evaluated. This article undertakes such an analysis, using support and resistance levels provided to customers by six firms active in the foreign exchange market. The author offers strong evidence that the levels help to predict intraday trend interruptions. However, the levels' predictive power is found to vary across the exchange rates and firms examined.
107 citations
••
TL;DR: In this paper, the authors investigated intra-safe haven currency behavior during the recent global financial crisis and found that the JPY is the "safe" of safe haven currencies and that only JPY appreciates as market uncertainty increases regardless of the prevailing level of uncertainty.
107 citations