The Microstructure Approach to Exchange Rates

Imad A Moosa and Razzaque H Bhatti
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Imad A Moosa: Monash University, Australia
Razzaque H Bhatti: Gulf University for Science and Technology, Kuwait

Chapter 10 in The Theory and Empirics of Exchange Rates, 2009, pp 292-323 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Macroeconomic Models: Failure and AlternativesThe Microstructure Models of Exchange RatesAssumptions of Microstructure ModelsExchange Rate Determination in Microstructure ModelsInformation Models versus Inventory ModelsFactors Affecting Exchange Rates in Microstructure ModelsOrder FlowThe Bid–Offer SpreadThe Microstructure Solution to the Determination PuzzleThe Microstructure Solution to the Excess Volatility PuzzleThe Microstructure Solution to the Forward Bias PuzzleThe Statistician's Perspective on Forward BiasThe Economist's Perspective on Forward BiasThe Practitioner's Perspective: Limits to SpeculationA Simple Explanation: Model MisspecificationRecapitulation

Keywords: Models of Exchange Rate Determination; Balance of Payments; Macroeconomic Approach to Exchange Rates; Microstructure Approach to Exchange Rates; Mundell-Fleming Model; Flexible-Price Monetary Model of Exchange Rates; Portfolio Balance Model; Currency Substitution Model (search for similar items in EconPapers)
JEL-codes: I10 (search for similar items in EconPapers)
Date: 2009
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