Exchange Rate Volatility: the Impact of Learning Behaviour and the Institutional Framework. A Market Microstructure Approach.

Traditional macroeconomic models fail to explain short- and medium-term volatility of foreign exchange rates. Following the new strand of market microstructure approaches to the problem, we model the dynamic optimization problem of a monopolistic market maket who faces uncertainty about some fundamental parameter and whose foreign currency position has to be closed by the end of the day.

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Year of publication:	1999
Authors:	Wuthe, N.
Institutions:	Department of Economics, European University Institute
Subject:	EXCHANGE RATE \| LEARNING

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Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	102 pages
Classification:	D83 - Search, Learning, Information and Knowledge ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005697687