with considerable precision and time-series volatility. We then use these estimates to test for asset integration, both … assets traded on a given market share the same EMRS. The technique is also powerful enough to reject integration between the …

---with which different policy scenarios can be analyzed and compared. The model is a dynamic stochastic general-equilibrium setup … with a continuum of regions. Thus, it is a full stochastic general-equilibrium version of RICE, Nordhaus's pioneering multi …---there is no insurance nor any intertemporal trade across them. The extreme form of market incompleteness is not fully realistic …

almost two-thirds while the volume has almost halved. We propose a microstructure theory for a system of multiple exchange … of the euro reduced the intra-temporal risk sharing capacity of the multicurrency dealership market. A second explanation …

topics in three main areas: The microeconomic operation of the foreign exchange market; the beliefs of dealers regarding the … importance, or otherwise, of macroeconomic fundamental factors in affecting exchange rates; microstructure factors in FX. We find … important over much shorter horizons that the mainstream empirical literature would suggest. Finally, market ‘norms' and …

model is that the adverse selection problem facing market makers is worse when, based on public information, a currency is …

individual banks in the foreign exchange market. We propose multivariate time series models as well as models in tick time to … price leaders in the deutschmark/dollar market. Our empirical results suggest an important but not exclusive role for German … banks in the price discovery process. There is also a group of banks, German and non-German, that lags behind the market and …

includes duration functions to measure the time dependence of volatility as well as information asymmetry. In order to assess … Communication Networks, and three wholesale market makers for 20 actively traded stocks with varying liquidity at Nasdaq. Our … results include that volatility does not increase with the duration between quote updates, and that longer quote durations …