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A Market Microstructure Analysis of Foreign Exchange Intervention
16 references·1 citing·42 second hop
A Market Microstructure Analysis of Foreign Exchange Intervention (2006)A Market Microstructure Analysis of Forei…Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? (2006)Can Information Heterogeneity…Currency Returns, Intrinsic Value, and Institutional‐Investor Flows (2005)Currency Returns, Intrinsic V…Exchange Rates and Fundamentals (2004)Exchange Rates and Fundamenta…Dealer behavior and trading systems in foreign exchange markets (2004)Dealer behavior and trading s…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Informed trade in spot foreign exchange markets: an empirical investigation (2003)Informed trade in spot foreig…The Practice of Central Bank Intervention: Looking Under the Hood (2000)The Practice of Central Bank …Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …Does foreign exchange intervention signal future monetary policy? (1996)Does foreign exchange interve…Tests of microstructural hypotheses in the foreign exchange market (1995)Tests of microstructural hypo…Does foreign exchange intervention work? (1995)Does foreign exchange interve…The Effectiveness of Central-Bank Intervention: A Survey of the Literature After 1982 (1993)The Effectiveness of Central-…Does Foreign Exchange Intervention Work (1993)Does Foreign Exchange Interve…News from the U. S. and Japan: Which Moves the Yen/Dollar Exchange Rate? (1986)News from the U. S. and Japan…The role of official intervention (1981)The role of official interven…Real-Time Effects of Central Bank Interventions in the Euro Market (2007)Real-Time Effects of Central …Empirical exchange rate models of the seventies (1983)Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)The Political Economy of Central Bank Independence (1995)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)The Economics of Exchange Rates (2003)The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Arbitrage in the foreign exchange market: Turning on the microscope (2008)How is macro news transmitted to exchange rates? (2008)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Capital Flows, Push versus Pull Factors and the Global Financial Crisis (2011)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)International Liquidity and Exchange Rate Dynamics * (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Market microstructure: A survey (2000)Tests of equal forecast accuracy and encompassing for nested models (2001)Macroeconomics and Reality (1980)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Predictive regressions (1999)How do business and financial cycles interact? (2011)Multiproduct Firms and Trade Liberalization (2011)Inferring Trade Direction from Intraday Data (1991)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Order Flow and Exchange Rate Dynamics (2002)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment (1937)Expectations and the neutrality of money (1972)Social Value of Public Information (2002)Information Immobility and the Home Bias Puzzle (2009)Carry Trades and Global Foreign Exchange Volatility (2012)ARCH modeling in finance (1992)Discretion versus policy rules in practice (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)High-Frequency Trading and Price Discovery (2014)Central bank intervention and exchange rate volatility (1998)Technical trading rule profitability and foreign exchange intervention (1999)Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors (1993)
this work references cited by second hop

References

  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,416 cited
  • 1999Order Flow and Exchange Rate Dynamics798 cited
  • 2004Exchange Rates and Fundamentals739 cited
  • 2006Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?569 cited
  • 1995Tests of microstructural hypotheses in the foreign exchange market517 cited
  • 1993The Effectiveness of Central-Bank Intervention: A Survey of the Literature After 1982340 cited
  • 2005Currency Returns, Intrinsic Value, and Institutional‐Investor Flows299 cited
  • 1995Does foreign exchange intervention work?280 cited
  • 2003Informed trade in spot foreign exchange markets: an empirical investigation274 cited
  • 1981The role of official intervention254 cited
  • 2004Dealer behavior and trading systems in foreign exchange markets239 cited
  • 1993Does Foreign Exchange Intervention Work226 cited
  • 1996Does foreign exchange intervention signal future monetary policy?210 cited
  • 2000The Practice of Central Bank Intervention: Looking Under the Hood206 cited
  • 1999Order Flow and Exchange Rate Dynamics183 cited

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1986
News from the U. S. and Japan: Which Moves the Yen/Dollar Exchange Rate?
180 cited

Cited by

  • 2007Real-Time Effects of Central Bank Interventions in the Euro Market9 cited