Foreign Exchange Market Intervention: Market Microstructure Models and Empirical Investigations

Nevi Danila
Victoria University, Melbourne, Australia
Sardar M.N. Islam
Victoria University, Melbourne, Australia

Series: Financial Institutions and Services
BISAC: BUS027000

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Foreign Exchange Market Intervention: Market Microstructure Models and Empirical Investigations investigates the effectiveness of government intervention from the market microstructure perspective, especially focusing on its impact concerning the setting of bid-ask exchange rates (from the Plaza Agreement to the Louvre Accord). The authors test the effect of intervention on the dealer’s behavior in controlling his/her inventory to set the quotation of exchange rates. The authors also examine the relative importance of the inventory cost in three components of the bid-ask spread. Finally, they analyze the impact of intervention on a spread. This book develops new econometric models which have produced results for sound FOREX and financial management strategies. This book is multi-disciplinary, technical and specialized, but focused on contemporary and emerging issues in FOREX and financial markets in addressing the issues of financial markets and for theory and hypothesis development which have general implications for finance theory.

Chapter 1. Introduction

Chapter 2. Foreign Exchange Intervention

Chapter 3. The Impact of Intervention on the Inventory-Control
Mechanism

Chapter 4. The Bid-Ask Spread: The Market Microstructure
Perspective

Chapter 5. The Empirical Decomposition of the Bid-Ask
Spread for Exchange Rates

Chapter 6. Government Intervention on the Spread

Chapter 7. Findings: Foreign Exchange Intervention
Effectiveness

Appendices

References

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