Traders, Market Microstructure and Exchange Rate Dynamics

Yin-Wong Cheung and Menzie Chinn

No 7416, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: F31 G15 (search for similar items in EconPapers)
Date: 1999-11
New Economics Papers: this item is included in nep-ifn
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Citations: View citations in EconPapers (18)

Published as Cheung, Yin-Wong and Menzie David Chinn. "Currency Traders And Exchange Rate Dynamics: A Survey Of The US Market," Journal of International Money and Finance, 2001, v20(4,Aug), 439-471.

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