The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...

The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...

The paper investigates the transmission of macroeconomic factors into the price-setting behavior of a specific dealer in the FX market. This problem is viewed from the perspective of a central banker who observes the price evolution but does not make the market in the home currency. The central...

The paper introduces a model of bid/ask price formation in an imperfectly centralized forex dealership market in continuous time. The dealers have costly access to best quotes while interpreting signals from the joint dealer-customer order flow and deciding upon their own price quotes and...

The paper proposes a model of multiple dealer forex trade in two variants: for direct and brokered market organization. The equilibrium order flow pattern is derived as a function of shadow prices (marginal valuations) of FX holdings across market participants. The shadow currency values can be...