Book Categories

Description of The Foreign Exchange Market

This text brings together a number of research studies, all of which examine the behaviour of foreign exchange rates. The main focus of the collection is on empirical characterization of high-frequency exchange rate data. The pioneering studies demonstrate and explain, amongst other things, the regular patterns in intra-day foreign exchange rate activity, the effects of macroeconomic news of rates and analyze the profitability of technical trading rules in these markets. The collection should be of use to students, academics and practitioners who are interested in exchange rate dynamics.

Title Information

ISBN:

9780333630839

Pages:

576 pages

Format:

Hardback

Product Code:

12717

Publisher:

Palgrave MacMillan

Published:

10/08/2000

Edition:

1st Edition

Write a review of this book

Customer Reviews from Amazon

About Charles A.E. Goodhart and Richard Payne

CHARLES GOODHART is the Norman Sosnow Professor of Banking and Finance at the London School of Economics. In 1997 he was appointed one of the outside independent members of the Bank of England's new Monetary Policy Committee. Besides numerous articles, he has written two books on monetary history, and a graduate monetary textbook, Money, Information and Uncertainty. He has also published two collections of papers on monetary policy, Monetary Theory and Practice (1984) The Central Bank and The Financial System (1995), and an institutional study of The Evolution of Central Banks (1988). RICHARD PAYNE is a Lecturer in Finance in the Department of Accounting and Finance at the London School of Economics and Political Science. He completed a PhD in Economics at the LSE in 1998. His research interests include financial econometrics, empirical market microstructure and international finance.

Contents of The Foreign Exchange Market

Notes on the Contributors
Introduction

PART I: ANALYSIS OF FOREIGN EXCHANGE RATE
The Foreign Exchange Market: A Random Walk with a Dragging Anchor
Does the Forward Premium/Discount Help to Predict the Future Change in the Exchange Rate?
Why Does the Spot-Forward Discount Fail to Predict Changes in Future Spot Rates?

PART II: DESCRIPTION OF THE INTRA-DAY FOREIGN EXCHANGE MARKET
'Reuters' Screen Images of the Foreign Exchange Market: The Yen/Dollar and Sterling/Dollar Spot Market
'News' and the Foreign Exchange Market

PART III: MEASUREMENT OF MARKET MOVEMENTS USING INTRA-DAY EXCHANGE RATE DATA
From Hour to Hour in the Foreign Exchange Market
Some Evidence on Daily Trading in the London Foreign Exchange Market
Every Minute Counts in Financial Markets
The Geographical Location of the Foreign Exchange Market: A Test of an 'Islands' Hypothesis
News Effects in a High-frequency Model of the Sterling/Dollar Exchange Rate
Central Bank Forex Intervention Assessed in Continuous Time
Testing for Unit-roots with Very High-Frequency Spot Exchange Rate Data
The Interaction Between the Frequency of Market Quotations, Spreads and Volatility in the Foreign Exchange Market

PART IV: TECHNICAL ANALYSIS
Chartism: A Controlled Experiment
Do Technical Trading Rules Generate Profits? Evidence from the Intra-Day Foreign Exchange Market

PART V: INTRA-DAY EXCHANGE RATE MOVEMENTS AND TRANSACTIONS DATA
One Day in June 1993: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System
Microstructural Dynamics in a Foreign Exchange Electronic Broking System

PART VI: WHERE WE STAND
High-Frequency Data in Financial Market: Issues and Applications

Conclusions and Directions for Future Research

Index