Chaboud, Alain P.; Chernenko, Sergey; Howorka, Edward; … - Federal Reserve Board (Board of Governors of the … - 2004
foreign
exchange position will change discretely at the moment of the data release, as a risk event
will have passed. This … used in this
paper, from EBS, marks a major advance over the data used in previous exchange rate
studies. First, the …. Secondly, the EBS prices that we use
are live transactable prices, not the indicative quotes used in most previous studies of …