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Bank of England interest rate announcements and the foreign exchange market

Melvin, Michael; Saborowski, Christian; Sager, Michael; … - 2009

Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy interest rate. We examine evidence of systematic patterns in exchange rate movements on MPC days over the first decade of operation of the MPC. Daily data reveal significant differences in...

Persistent link: https://www.econbiz.de/10003831967

Exchange rate management in emerging markets : intervention via an electronic limit order book

Melvin, Michael; Menkhoff, Lukas; Schmeling, Maik - 2009

This paper describes and analyzes the implementation of a crawling exchange rate band on an electronic trading platform. The placement of limit orders at the central bank's target rate serves as a credible policy statement that may coordinate beliefs of market participants. We find for our...

Persistent link: https://www.econbiz.de/10003850509

Automating exchange rate target zones : intervention via an electronic limit order book

Melvin, Michael (contributor); Menkhoff, Lukas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003641673

Non-linearities in the relation between the exchange rate and its fundamentals

Altavilla, Carlo (contributor); De Grauwe, Paul (contributor) - 2005

This paper investigates the relationship between the euro-dollar exchange rate and its underlying fundamentals. First, we develop a simple theoretical model in which chartists and fundamentalists interact. This model predicts the existence of different regimes, and thus nonlinearities in the...

Persistent link: https://www.econbiz.de/10003202226

Volume and volatility in the FX-market : does it matter who you are?

Bjønnes, Geir H.; Rime, Dagfinn; Solheim, Haakon - 2002

The relationship between volume and volatility has received much attention in the the literature of financial markets. However, due to the lack of data, few results have been presented for the foreign exchange market. Further, most studies contain only aggregate series, and can not distinguish...

Persistent link: https://www.econbiz.de/10011539127

Retaining alpha : the effect of trade size and rebalancing frequency on FX strategy returns

Melvin, Michael; Pan, Wenqiang; Wikstrom, Petra - 2020

The literature on currency investing that incorporates transaction costs uses costs relevant for small trade sizes. Using the entire order book of the major electronic brokerages for FX, we compute sweep-to-fill costs for trades of different sizes and illustrate the reduction in post-cost...

Persistent link: https://www.econbiz.de/10012174753

Currency traders and exchange rate dynamics : a survey of the U.S. market

Cheung, Yin-Wong; Chinn, Menzie David - 2000

We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) in recent years electronically-brokered transactions have risen substantially, mostly at the expense of traditional brokers; (ii) the market norm is an important det e rminant of interbank...

Persistent link: https://www.econbiz.de/10009781525

Disciplining ballots? : (un-intended) effects of voter engagement on the fiscal sustainability of Swiss cantons

Bury, Yannick; Feld, Lars P.; Köhler, Ekkehard A. - 2023

We test whether the proactive use of instruments of direct democracy by voters can help to explain fiscal sustainability of 25 Swiss cantons. Using data of all cantonal popular votes since 1977, our results show that the fiscal reaction of cantonal governments to an increase in the debt to GDP...

Persistent link: https://www.econbiz.de/10014427600

Role of finance in Dixit-Stiglitz-Krugman model of international trade

Marjit, Sugata; Dutta, Meghna; Roy, Moushakhi - 2022

This paper introduces finance or credit in the Dixit-Stiglitz-Krugman (DSK) model of international trade. It identifies … mechanisms by which finance can affect the main results of the conventional model. The key results are as follows. Perfect credit … output per variety. Thus, availability of finance will determine a specific trade pattern between richer and poorer nations …

Persistent link: https://www.econbiz.de/10013262745

Proprietary public finance : on its emergence and evolution out of anarchy

Skaperdas, Stergios - 2011

finance, however, is comparatively scarce. I argue that proprietary rule emerges out of anarchy and its main alternative …

Persistent link: https://www.econbiz.de/10009153844