Foreign exchange market intervention : market microstructure models and empirical investigations / Nevi Danila and Sardar M.N. Islam.

Format:

Book

Author/Creator:

Danila, Nevi, author.

Islam, Sardar M. N., 1950- author.

Series:

Financial institutions and services.

Financial Institutions and Services

Language:

English

Subjects (All):

Foreign exchange--Government policy.

Foreign exchange.

Physical Description:

1 online resource (237 pages).

Place of Publication:

New York : Nova Science Publishers, [2018]

Summary:

Foreign Exchange Market Intervention: Market Microstructure Models and Empirical Investigations investigates the effectiveness of government intervention from the market microstructure perspective, especially focusing on its impact concerning the setting of bid-ask exchange rates (from the Plaza Agreement to the Louvre Accord). The authors test the effect of intervention on the dealer's behavior in controlling his/her inventory to set the quotation of exchange rates. The authors also examine the relative importance of the inventory cost in three components of the bid-ask spread. Finally, they analyze the impact of intervention on a spread. This book develops new econometric models which have produced results for sound FOREX and financial management strategies. This book is multi-disciplinary, technical and specialized, but focused on contemporary and emerging issues in FOREX and financial markets in addressing the issues of financial markets and for theory and hypothesis development which have general implications for finance theory.

Contents:

Introduction

The foreign exchange intervention

The bid-ask spread: the market microstructure perspective

The empirical decomposition of the bid-ask spread for exchange rates

Government intervention on the spread

References

Appendices.

Notes:

Description based on print version record.

ISBN:

1-5361-4711-7