Electronic trading has transformed foreign exchange markets over the past decade, and the pace of innovation only accelerates. This formerly opaque market is now fairly transparent and transaction costs are only a fraction of their former level. Entirely new agents have joined the fray,...

This paper investigates the presence and characteristics of arbitrage opportunities in the foreign exchange market using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick frequency, obtained from Reuters on special...

This report studies the reaction of the level and volatility of the euro-dollar exchange rate to statements of ECB officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We find that the Bundesbank has dominated the news...

The relationship between volume and volatility has received much attention in the literature on financial markets. However, due to the lack of data, few results have been presented for the foreign exchange (FX) market. Furthermore, most studies contain only aggregate series, and cannot...

We propose in this paper a likelihood-based framework for cointegration analysis in panels of a fixed number of vector error correction models. Maximum likelihood estimators of the cointegrating vectors are constructed using iterated Generalized Method of Moments estimators. Using these...

The goal of this paper is to assess the money market in the Czech Republic from 1993 to 1997. The specific interest is in interactions between short and long interest rates, and between exchange and interest rates. During the financial crisis of 1997 the prevailing links among monetary variables...