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Microstructure of Foreign Exchange Markets

Martin Evans and Dagfinn Rime ()

Working Papers from Georgetown University, Department of Economics

Abstract: This article presents an overview of research on the Microstructure of Foreign Ex-change Markets. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then explain how these features are represented in microstructure models of FX trading. Next, we describe the links be- tween microstructure and traditional macro exchange-rate models and summarize how these links have been explored in recent empirical research. Finally, we provide a microstructure perspective on two recent areas of interest in exchange-rate economics: the behavior of returns on currency portfolios, and questions of competition and regulation.

Keywords: Exchange-Rate Dynamics; Microstructure; Order Flows; Liquidity; Electronic trading (search for similar items in EconPapers)
JEL-codes: F3 F4 G1 (search for similar items in EconPapers)
Pages: 43
Date: 2019-03-01
New Economics Papers: this item is included in nep-ifn and nep-mst
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:geo:guwopa:gueconwpa~19-19-01

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Roger Lagunoff Professor of Economics Georgetown University Department of Economics Washington, DC 20057-1036
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