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Traders, market microstructure, and exchange rate dynamics

Author: Yin-Wong Cheung; Menzie David Chinn; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, ©1999.
Series: Working paper series (National Bureau of Economic Research), working paper no. 7416.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) The share of customer business, versus interbank business, has remained fairly constant; (ii) The channels by which transactions take place have changed, as electronically-brokered transactions have risen from 2% to 46% of total, mostly at the expense of transactions undertaken by traditional brokers;  Read more...
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Additional Physical Format: Print version:
Cheung, Yin-Wong.
Traders, market microstructure, and exchange rate dynamics.
Cambridge, MA : National Bureau of Economic Research, ©1999
(OCoLC)42958884
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Yin-Wong Cheung; Menzie David Chinn; National Bureau of Economic Research.
OCLC Number: 647059703
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (24, [4]) : illustrations, form.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 7416.
Other Titles: Exchange rate dynamics
Responsibility: Yin-Wong Cheung, Menzie D. Chinn.

Abstract:

Abstract: We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) The share of customer business, versus interbank business, has remained fairly constant; (ii) The channels by which transactions take place have changed, as electronically-brokered transactions have risen from 2% to 46% of total, mostly at the expense of transactions undertaken by traditional brokers; (iii) The single most widely- cited reason for deviating from the standard market convention on the bid-ask spread is a thin/hectic market; (iv) Half or more of market respondents believe that large players dominate in the dollar-pound and dollar-Swiss franc markets; and (v) 60% of respondents believe there is low predictability of exchange rates intraday. Even at medium and long run horizons, only a third of traders believe that there is high predictability.

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