The Microstructure of Foreign Exchange Markets
The Microstructure of Foreign Exchange Markets
复制标题
外汇市场的微观结构
DOI：
10.2307/1061089
复制
发表时间：
1997
影响因子：
1.9
通讯作者：
A. Giovannini
中科院分区：
文献类型：
--
作者：
Kin Wah Wong;J. Frankel;G. Galli;A. Giovannini
外汇市场是世界上最大、发展最快的金融市场。然而传统的宏观经济方法并不能解释人们交易外汇的原因。与此同时，他们未能解释汇率的短期决定因素。这九篇创新文章采用微观结构方法来分析外汇市场的运作，特别强调制度方面和市场参与者的实际行为。他们研究了交易量、交易者的异质性、交易时间和地点、买卖差价以及令许多观察家困惑的汇率高波动性。他们还考虑市场结构，包括不透明、信息不对称、流动性交易、自动化经纪商的使用、现货市场和衍生品市场之间的关系以及市场系统性风险的重要性等问题。对于任何对国际金融经济学感兴趣的人来说，这本及时的著作将是必不可少的读物。
The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.