A large sample of developed and emerging economies is utilized to investigate import pass-through. Panel models reveal that various economic aspects of the destination country can explain about one third of the total variation in pass-through elasticities and the remaining variation comes...

The purpose of the paper is to examine the effects of different trading systems, the open outcry and the electronic systems, which differ in the speed of dissemination of order flow information, on the relation between trading activity and conditional volatility, on the probability distribution...

This paper investigates whether global imbalance in the size of the exchange rates order flow introduces asymmetric linkages. In particular, we study the high frequency volatility spillover between DEM/USD and GBP/USD using multivariate GARCH models over a two-year sample period of 1997 to 1998....

The examines short-run exchange rate dynamics in an emerging market based on the recent microstructure framework of foreign exchange markets where the main explanatory variable is the order flow. The study makes two main contributions to the literature. First, it modifies the model to take...