The Microstructure of Foreign Exchange Markets

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ISBN: 9780226260235

Preface
Introduction
Jeffrey A. Frankel, Giampaolo Galli, Alberto Giovannini.
1: Risk and Turnover in the Foreign Exchange Market
Philippe Jorion
Comment: Bernard Dumas
2: Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models
of Asymmetric Information
David A. Hsieh, Allan W. Kleidon.
Comment: Zhaohui Chen
Comment: Antti Suvanto
3: Interdealer Trade and Information Flows in a Decentralized Foreign
Exchange Market
William Perraudin, Paolo Vitale.
Comment: Silverio Foresi
Comment: Alan Kirman
4: One Day in June 1993: A Study of the Working of the Reuters 2000-2
Electronic Foreign Exchange Trading System
Charles Goodhart, Takatoshi Ito, Richard Payne.
Comment: Richard K. Lyons
5: Foreign Exchange Volume: Sound and Fury Signifying Nothing?
Richard K. Lyons
Comment: Mark D. Flood
Comment: Antonio Mello
6: Dynamic Hedging and the Interest Rate Defense
Peter M. Garber, Michael G. Spencer.
Comment: Richard K. Lyons
7: Heterogenous Behavior in Exchange Rate Crises
Fabio C. Bagliano, Andrea Beltratti, Guiseppe Bertola.
Comment: Lorenzo Bini-Smaghi
Comment: Richard K. Lyons
8: Exchange Rate Economics: What's Wrong with the Conventional Macro
Approach?
Robert P. Flood, Mark P. Taylor.
Comment: Andrew K. Rose
Comment: Lars E. O. Svensson
9: Is There a Safe Passage to EMU? Evidence on Capital Controls and a
Proposal
Barry Eichengreen, Andrew K. Rose, Charles Wyplosz.
Comment: Jose Vinals
Contributors
Author Index
Subject Index