Richard K. Lyons

New Micro Exchange Rate Economics

Support for this site from the National Science Foundation is gratefully acknowledged.

A Definition

New Micro is a new approach to exchange rates whose foundations lie in microeconomics (drawing particularly from microstructure finance). The focus of the approach is dispersed information and how information of this type is aggregated in the marketplace. By dispersed information we mean dispersed bits of information about changing variables like money demands, risk preferences, and future inflation. Dispersed information also includes information about the actions of others (e.g., about different trading responses to commonly observed data). Traditional macro models do not consider that the private sector might be solving a problem of dispersed information. Rather, macro models assume that information about variables like money demands, risk preferences, and inflation is either symmetric economy-wide, or, in some models, asymmetrically assigned to a single player—the central bank. In reality, there are many types of dispersed information that exchange rates need to impound. Understanding the nature of this information problem and how it is solved is the essence of this micro-based research agenda.

• For answers to frequently asked questions about New Micro research, click here.

Researchers

Below is a partial list of researchers working on projects encompassed by New Micro. Click on a name to see recent working papers by each researcher (downloadable). Please note that more up-to-date versions may be available from authors' websites.

Working Papers

Mark Aguiar (University of Chicago) Email

Aguiar, M. (2001), Informed speculation and the choice of exchange rate regime, typescript, August.

Rui Albuquerque (Boston University)

Albuquerque, R., E. de Francisco, and L. Marques (2006), Marketwide private information in stocks: forecasting currency returns, typescript, March.

Torben Andersen (Northwestern University) Email

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2002), Micro effects of macro announcements: Real-time price discovery in foreign exchange, NBER Working Paper 8959, May, forthcoming in the American Economic Review.

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2003), Micro effects of macro announcements: Real-time price discovery in the stock market, the bond market, and the foreign exchange market, typescript.

Aysegul Ates (CFTC) Email

Ates, Aysegul and George H. K. Wang (2005), Liquidity and Price Discovery on Floor versus Screen-Based Trading Systems: An Analysis of Foreign Exchange Futures Markets, typescript, January

Philippe Bacchetta (University of Lausanne) Email

Bacchetta, P., and E. van Wincoop (2004), Can information dispersion explain the exchange rate disconnect puzzle? Typescript, University of Virginia.

Jeannine Bailliu (Bank of Canada) Email

Bailliu, J., and M. King (2005), What drives movements in exchange rates?, Bank of Canada Review, Autumn.

Gregory Bauer (University of Rochester) Email

Bauer, G., and C. Vega (2003), The monetary origins of asymmetric information in international equity markets, typescript, March.

Michel Beine (University of Brussels) Email Webpage

Beine, M., and C. Lecourt (2004), Reported and secret interventions in the foreign exchange markets, typescript, May.

Beine, M., A. Benassy-Quere, E. Dauchy, and R. MacDonald (2003), The impact of central bank intervention on exchange-rate forecast heterogeneity, typescript.

Geir Bjønnes (Norwegian School of Management) Email

Bjønnes, G., D. Rime, and H. Solheim (2004), Liquidity provision in the overnight foreign exchange market, Journal of International Money and Finance, forthcoming.

Bjønnes, G., and D. Rime (2003), Dealer behavior and trading systems in the foreign exchange market, Journal of Financial Economics, forthcoming.

Bjønnes, G., and D. Rime (2001), Customer Trading and Information in Foreign Exchange Markets, typescript, Norwegian School of Management, January.

Tim Bollerslev (Duke University) Email

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2002), Micro effects of macro announcements: Real-time price discovery in foreign exchange, NBER Working Paper 8959, May, forthcoming in the American Economic Review.

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2003), Micro effects of macro announcements: Real-time price discovery in the stock market, the bond market, and the foreign exchange market, typescript.

Michael Brandt (Duke Univeristy) Email

Brandt, M., and K. Kavajecz (2003), Price discovery in the U.S. treasury market: The impact of order flow and liquidity on the yield curve, typescript, forthcoming, Journal of Finance.

Jorge Ivan Canales-Kriljenko (IMF) Email

Canales-Kriljenko, J. (2003), Foreign exchange market organization in selected developing and transition economies: Evidence from a survey, typescript, IMF, June.

Andrew Carpenter (UBS Warburg, Sydney)

Carpenter, A., and J. Wang (2003), Sources of private information in FX trading, typescript, University of New South Wales, January.

Henry Cao (U. of North Carolina) Email

Cao, H., Evans, M., and R. Lyons (2003), Inventory Information, Journal of Business, forthcoming.

John Carlson (Purdue University) Email

Carlson, J., and M. Lo (2003), One minute in the life of the DM/$: Public news in an electronic market, typescript, Purdue University, July.

Carlson, J. (2005), Making a market in foreign exchange, typescript, Purdue University, February.

Alain Chaboud (Board of Governors of the Federal Reserve System) Email

Berger, D., A.Chaboud, E. Hjalmarsson, and D. Howorka (2006), What Drives Volatility Persistence in the Foreign Exchange Market?, typescript, May.

Chaboud, A., D. Berger, S. Chernenko, E. Howorka, R. Iyer, D. Liu, J. Wright (2005), Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data, typescript, April.

Chaboud, A., and J. Wright (2003), Uncovered interest parity: It works, but not for long, International Finance Discussion Paper 752, January.

Anusha Chari (University of Michigan) Email

Chari, A. (2002), Divine intervention? Speculators and central banks in the foreign exchange market, typescript, September.

Chari, A. (2002), An analysis of macroeconomic announcements across locations in the DM/dollar market, typescript, August.

Yin-Wong Cheung (University of California, Santa Cruz) Email

Cheung, Y., and M. Chinn (1999), Macroeconomic implications of the beliefs and behavior of foreign exchange traders, NBER Working Paper 7417.

Menzie Chinn (University of California, Santa Cruz) Email

Cheung, Y., and M. Chinn (1999), Macroeconomic implications of the beliefs and behavior of foreign exchange traders, NBER Working Paper 7417.

Benjamin Cohen (IMF) Email

Cohen, B., and H. Shin (2002), Positive feedback trading under stress: Evidence from the US treasury securities market, typescript, London School of Economics, August.

Giancarlo Corsetti (University of Rome) Email

Corsetti, G., P. Pesenti, and N. Roubini (2001), Does one Soros make a difference? The role of a large trader in currency crises, NBER Working Paper 8303.

Jon Danielsson (London School of Economics) Email

Danielsson, J., and R. Love (2004), Feedback trading, May.

Danielsson, J., and B. Saltoglu (2003), Anatomy of a market crash: A market microstructure analysis of the Turkish overnight liquidity crisis, June.

Danielsson, J., Payne, R., and J. Luo (2002), Exchange Rate Determination and Inter–Market Order Flow Effects, typescript, London School of Economics, August.

Estelle Dauchy (University of Paris and University of Michigan) Email

Beine, M., A. Benassy-Quere, E. Dauchy, and R. MacDonald (2003), The impact of central bank intervention on exchange-rate forecast heterogeneity, typescript.

Eva de Francisco (Conressional Budget Office) Email

Albuquerque, R., E. de Francisco, and L. Marques (2006), Marketwide private information in stocks: forecasting currency returns, typescript, March.

Frank de Jong (University of Amsterdam) Email

De Jong, F., R. Mahieu, P. Schotman, and I. van Leeuwen (2001), Price discovery on foreign exchange markets with differentially informed traders, August.

Alexis Derviz (Czech National Bank) Email Webpage

Derviz, A., (2003), Asset return dynamics and the FX risk premium in a decentralized dealer market, European Economic Review, forthcoming.

Derviz, A., (2002), Dealer quotes, order flow, and indirect foreign currency utility in a multiple dealership market, typescript, November.

Derviz, A., (2002), Components of the exchange risk premium in a multiple dealer FX market, typescript.

Derviz, A., (2001), Continuous Time Decision-Making in a Partially Decentralized Multiple Dealership Forex Market, typescript, April.

Francis Diebold (University of Pennsylvania) Email

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2002), Micro effects of macro announcements: Real-time price discovery in foreign exchange, NBER Working Paper 8959, May, forthcoming in the American Economic Review.

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2003), Micro effects of macro announcements: Real-time price discovery in the stock market, the bond market, and the foreign exchange market, typescript.

Liang Ding (University of North Carolina at Chapel Hill)

Ding, L. (2005), Market Structure and Dealer’s Quoting Behavior in the Foreign Exchange Market, typescript

Katherine Dominguez (University of Michigan) Email Webpage

Dominguez, K. (2003), When do central bank interventions influence intradaily and longer-term exchange rate movements? NBER Working Paper 9875, July.

Dominguez, K. (2003), Book Review: The Microstructure Approach to Exchange Rates, forthcoming Journal of International Economics.

Dominguez, K. (1999), The market microstructure of central bank intervention, NBER Working Paper 7337, September.

Chris D’Souza (Bank of Canada) Email

D’Souza, C. (2001), A Market Microstructure Analysis of FX Intervention in Canada, typescript, Bank of Canada, March.

Kyong Shik Eom (University of California, Berkeley) Email

Eom, K.S., S. Hahn, and S. Joo (2003), Partial Price Adjustment and Autocorrelation in Foreign Exchange Markets, typescript, UC Berkeley.

Martin Evans (Georgetown University) Email

Click here to go to Evans' companion website on New Micro exchange rate economics.

Mintao Fan (University of California, Berkeley) Email

Fan, M., and R. Lyons (2002), Customer Trades and Extreme Events in Foreign Exchange, Forthcoming in Essays in Honor of Charles Goodhart, Paul Mizen (ed.), Edward Elgar: Northampton, MA, USA, pages 160-179.

Rasmus Fatum (University of Alberta) Email

Fatum, R., and M. King (2005), Rules Versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data, typescript, May.

Andreas Fischer (Swiss National Bank and CEPR) Email

Fischer, A. (2004), Reuters news reports versus official interventions: The inaccuracy of Reuters reports for Swiss interventions, typescript, February.

Fischer, A. (2004), Price clustering in the FX market: A disaggregate analysis using central bank interventions, April.

Michael Fleming (Federal Reserve Bank of New York) Email

Fleming, M., (2002), Measuring treasury market liquidity, typescript, New York Federal Reserve Bank, September.

Bill Francis (University of South Florida) Email

Francis, B., I. Hasan, and D. Hunter (2003), Dynamic relations between international equity and currency markets: The role of currency order flow, typescript.

Ken Froot (Harvard University) Email

Froot, K., and T. Ramadorai (2002), Currency returns, institutional investor flows, and exchange rate fundamentals, NBER Working Paper 9101, August.

Froot, K., and T. Ramadorai (2001), The Information Content of International Portfolio Flows, NBER Working Paper 8472, September.

Gabriele Galati (Bank for International Settlements) Email

Galati, G. (2000), Trading volumes, volatility, and spreads in FX markets: Evidence from emerging market countries, typescript, Bank for International Settlements.

Thomas Gehrig (University of Freiburg, Germany) Email

Gehrig, T., and L. Menkhoff (2001), The use of flow analysis in foreign exchange: Exploratory evidence, typescript, University of Freiburg (Germany), forthcoming in the Journal of International Money and Finance.

Aron Gereben (Magyar Nemzeti Bank) Email

Gereben, A., G. Gyomai, and N. Kiss M. (2006), Customer Order Flow, Information and Liquidity on the Hungarian Foreign Exchange Market, typescript, April.

Jean-Marc Godichal (Universite Libre de Bruxelles) Email

Godichal, J-M. (2004), Approche microstructure du marche des changes: Evaluation theorique et empirique, typescript, June.

Charles Goodhart (London School of Economics) Email

Almeida, A., C. Goodhart, and R. Payne (1997), The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior, Financial Markets Group discussion paper No 258.

Nikola Gradojevic (Lakehead University, Ontario, Canada) Email

Gradojevic, N., and J. Yang (2006), Non-linear, non-parametric, non-fundamental exchange rate forecasting, Journal of Forecasting, forthcoming.

Clifton Green (Emory University) Email

Green, C., (2002), Economic news and the impact of trading on bond prices, typescript, Emory University, May, Journal of Finance, forthcoming.

Alexander Guembel (Oxford University) Email

Guembel, A., and O. Sussman (2005), Sovereign Debt Without Default Penalties, typescript, Oxford University, November.

Guembel, A., and O. Sussman (2001), Optimal exchange rates: A market microstructure approach, typescript, Oxford University.

Philipp Hartmann (European Central Bank) Email

Hartmann, P., M. Manna, and A. Manzanares (2001), The microstructure of the euro money market, ECB Working Paper No. 80, October.

Iftekhar Hasan (Rensselaer Polytechnic) Email

Francis, B., I. Hasan, and D. Hunter (2003), Dynamic relations between international equity and currency markets: The role of currency order flow, typescript.

Harald Hau (INSEAD) Email Webpage

Hau, H., M. Massa, J. Peress (2005), Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change, typescript, April

Hau, H., and H. Rey (2002), Exchange rates, equity prices, and capital flows, NBER Working Paper 9398, December.

Hau, H., and H. Rey (2004), Can portfolio rebalancing explain the dynamics of equity returns, equity flows, and exchange rates? American Economic Review, forthcoming.

Dunne, P., H. Hau, and M. Moore (2004), Macroeconomic order flows: Explaining equity and exchange rate returns, typescript, November.

Delroy Hunter (University of South Florida) Email

Francis, B., I. Hasan, and D. Hunter (2003), Dynamic relations between international equity and currency markets: The role of currency order flow, typescript.

Takatoshi Ito (University of Tokyo) Email

Ito, T., and Y. Hashimoto (2004), Microstructure of the yen/dollar foreign exchange market: Patterns of intraday activity revealed in the electronic broking system, NBER Working Paper 10856, October.

Aditya Kaul (University of Alberta) Email

Kaul, A., and S. Sapp (2002), Y2K fears and safe haven trading of the U.S. dollar, typescript, University of Alberta, October.

Kenneth Kavajecz (University of Wisconsin, Madison) Email

Brandt, M., and K. Kavajecz (2003), Price discovery in the U.S. treasury market: The impact of order flow and liquidity on the yield curve, typescript, forthcoming, Journal of Finance.

William Killeen (Setanta Asset Management, Dublin) Email

Killeen, W., R. Lyons, and M. Moore (2001), Fixed versus flexible: Lessons from EMS order flow, NBER Working Paper 8491, forthcoming, Journal of International Money and Finance.

Jungshik Kim (Kennedy School, Harvard University)

Wei, S., and J. Kim (1997), The big players in the foreign exchange market: Do they trade on information or noise? NBER Working Paper 6256.

Michael King (Bank of Canada) Email

Bailliu, J., and M. King (2005), What drives movements in exchange rates?, Bank of Canada Review, Autumn.

Fatum, R., and M. King (2004), Rules Versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data, typescript, October.

Thomas Klitgaard (Federal Reserve Bank of New York) Email

Klitgaard, T., and L. Weir (2004), Exchange rate changes and net positions of speculators in the futures market, typescript, Federal Reserve Bank of New York, May.

Thomas Klitgaard (Federal Reserve Bank of New York) Email

Klitgaard, T., and L. Weir (2004), Exchange rate changes and net positions of speculators in the futures market, typescript, Federal Reserve Bank of New York, May.

Christelle Lecourt (University of Namur, Belgium) Email

Beine, M., and C. Lecourt (2004), Reported and secret interventions in the foreign exchange markets, typescript, May.

Melody Lo (University of Southern Mississippi)

Carlson, J., and M. Lo (2003), One minute in the life of the DM/$: Public news in an electronic market, typescript, Purdue University, July.

Ryan Love (London School of Economics) Email

Danielsson, J., and R. Love (2004), Feedback trading, May.

Love, R., and R. Payne (2002), Macroeconomic news, order flows, and exchange rates, typescript, London School of Economics, December.

Jinhui Luo (London School of Economics) Email

Luo, J. (2001), Market conditions, order flow and exchange rate determination, typescript, London School of Economics, December.

Richard Lyons (University of California, Berkeley) Email Webpage

Click here to locate other resources in New Micro exchange rate economics.

Ronald MacDonald (University of Strathclyde) Email

Beine, M., A. Benassy-Quere, E. Dauchy, and R. MacDonald (2003), The impact of central bank intervention on exchange-rate forecast heterogeneity, typescript.

Ronald Mahieu (Erasmus University) Email

De Jong, F., R. Mahieu, P. Schotman, and I. van Leeuwen (2001), Price discovery on foreign exchange markets with differentially informed traders, August.

Michele Manna (European Central Bank) Email

Hartmann, P., M. Manna, and A. Manzanares (2001), The microstructure of the euro money market, ECB Working Paper No. 80, October.

Sebastiano Manzan (University of Amsterdam)

Manzan, S., and F. Westerhoff (2005), Representativeness of news and exchange rate dynamics, typescript, University of Amsterdam.

Andres Manzanares (European Central Bank) Email

Hartmann, P., M. Manna, and A. Manzanares (2001), The microstructure of the euro money market, ECB Working Paper No. 80, October.

Luis Marques (University of Rochester)

Albuquerque, R., E. de Francisco, and L. Marques (2006), Marketwide private information in stocks: forecasting currency returns, typescript, March.

Ian Marsh (Cass Business School, London)

Marsh, I., C. O’Rourke (2005), Customer Order Flow and Exchange Rate Movements: Is There Really Information Content? Typescript, April.

Massimo Massa (INSEAD) Email

Massa, M., and A. Simonov (2001), Reputation and interdealer trading: A microstructure analysis of the treasury bond market, typescript, INSEAD, Journal of Financial Markets, forthcoming.

Michael Melvin (Arizona State University) Email

Gomez, M., and M. Melvin (2003), Explaining the euro exchange rates: The role of policy uncertainty, asymmetric information, and hedging opportunities, typescript, ASU, March.

Melvin, M. and L. Wen (2002), The choice of direct dealing or electronic brokerage in foreign exchange trading, typescript, Arizona State University, September.

Melvin, M. and B. Peiers (2002), The Global Transmission of Volatility in the Foreign Exchange Market, Typescript, Arizona State University.

Alexander Mende (University of Hannover, Germany) Email

Mende, A., L. Menkhoff, and C. Osler (2006), Price Discovery in Currency Markets, typescript, Brandeis University, May.

Mende, A., and L. Menkhoff (2003), Different counterparties, different foreign exchange trading? The perspective of a median bank, March.

Mende, A., and L. Menkhoff (2003), Tobin tax effects seen from the foreign exchange market’s microstructure, typescript.

Lukas Menkhoff (University of Hannover, Germany) Email Webpage

     Menkhoff, L., M. Schmeling (2005), Informed Trading in Limit Order Markets: Evidence on Trinary Order Choice, typescript, April.

Mende, A., L. Menkhoff, and C. Osler (2006), Price Discovery in Currency Markets, typescript, Brandeis University, Mayr.

Mende, A., and L. Menkhoff (2003), Different counterparties, different foreign exchange trading? The perspective of a median bank, March.

Mende, A., and L. Menkhoff (2003), Tobin tax effects seen from the foreign exchange market’s microstructure, typescript, University of Hannover, Germany.

Gehrig, T., and L. Menkhoff (2001), The use of flow analysis in foreign exchange: Exploratory evidence, typescript, University of Freiburg (Germany), forthcoming in the Journal of International Money and Finance.

Michael Moore (Queens University of Belfast, Northern Ireland) Email Webpage

Lyons, R., M. Moore (2005), An Information Approach To International Currencies, NBER Working Paper 112200

Dunne, P., H. Hau, and M. Moore (2004), Macroeconomic order flows: Explaining equity and exchange rate returns, typescript, November.

Killeen, W., R. Lyons, and M. Moore (2002), Fixed versus flexible: Lessons from EMS order flow, NBER Working Paper 8491, forthcoming, Journal of International Money and Finance.

Stephen Morris (Yale University) Email

Morris, S., and H. Shin (2000), Market risk with interdependent choice, typescript, London School of Economics.

Pamela Moulton (New York Stock Exchange) Email

Moulton, P. (2003), You can’t always get what you want: Quantity choice in Liquidity, typescript, NYSE, October.

Paul O’Connell (State Street Associates) Email

O’Connell, P., and M. Teo (2003), Prospect theory and institutional investors, typescript, October.

Walid Ben Omrane (Catholic University of Louvain, Belgium) Email

Omrane, W.B., and A. Heinen (2003), The response of individual FX dealers’ quoting activity to macroeconomic news announcements, typescript, September.

Carol Osler (Brandeis University) Email Webpage

Mende, A., L. Menkhoff, and C. Osler (2006), Price Discovery in Currency Markets, typescript, Brandeis University, May.

Oberlechner, T, and C. Osler (2004), Overconfidence in currency markets, typescript, Brandeis University, February.

Osler, C. (2002), Currency orders and exchange-rate dynamics: An explanation for the predictive success of technical analysis, Journal of Finance, forthcoming.

Osler, C. (2002), Stop-Loss Orders and Price Cascades in Currency Markets, typescript, Federal Reserve Bank of New York, April.

Osler, C. (2001), Predictable Order Flow and Exchange Rate Dynamics, typescript, Federal Reserve Bank of New York, May.

Paolo Pasquariello (University of Michigan) Email Webpage

Pasquariello, P. (2003), Imperfect competition, information heterogeneity, and financial contagion, typescript, January.

Pasquariello, P. (2002), Central bank intervention and the intraday process of price formation in currency markets, typescript, November.asf

Pasquariello, P. (2002), Information or just noise? An analysis of currency returns in proximity of central bank interventions, typescript, November.

Pasquariello, P. (2001), The microstructure of currency markets: An empirical model of intraday return and bid-ask spread behavior, typescript.

Pasquariello, P., and C. Vega (2004), Informed and strategic order flow in the bond markets, typescript, November.

Richard Payne (London School of Economics) Email

Love, R., and R. Payne (2002), Macroeconomic news, order flows, and exchange rates, typescript, London School of Economics, December.

Payne, R., and P. Vitale (2000), A transaction-level study of the effects of central bank intervention on exchange rates, typescript, London School of Economics

Payne, R. (1999), Informed trade in spot foreign exchange markets: An empirical investigation, typescript, London School of Economics, January, Journal of International Economics, forthcoming.

Almeida, A., C. Goodhart, and R. Payne (1997), The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior, Financial Markets Group discussion paper No 258.

Paolo Pesenti (Federal Reserve Bank of New York) Email

Corsetti, G., P. Pesenti, and N. Roubini (2001), Does one Soros make a difference? The role of a large trader in currency crises, NBER Working Paper 8303.

Richard Portes (London Business School) Email

Portes, R., and H. Rey (1999), The determinants of cross-border equity flows, NBER Working Paper 7336.

Tarun Ramadorai (Oxford University) Email

Ramadorai, T. (2003), Persistence, performance, and prices in foreign exchange markets, typescript, Oxford University, May.

Froot, K., and T. Ramadorai (2002), Currency returns, institutional investor flows, and exchange rate fundamentals, NBER Working Paper 9101, August.

Froot, K., and T. Ramadorai (2001), The Information Content of International Portfolio Flows, NBER Working Paper 8472, September.

Helene Rey (Princeton University) Email

Hau, H., and H. Rey (2004), Can portfolio rebalancing explain the dynamics of equity returns, equity flows, and exchange rates? American Economic Review, forthcoming.

Hau, H., and H. Rey (2002), Exchange rates, equity prices, and capital flows, NBER Working Paper 9398, December.

Portes, R., and H. Rey (1999), The determinants of cross-border equity flows, NBER Working Paper 7336.

Anthony Richards (Reserve Bank of Australia) Email

Richards, A. (2002), Big fish in small ponds: The positive feedback trading and price impact of foreign investors in Asian emerging equity markets, typescript, Reserve Bank of Australia.

Dagfinn Rime (Central Bank of Norway) Email Webpage

Bjønnes, G., D. Rime, and H. Solheim (2004), Liquidity provision in the overnight foreign exchange market, Journal of International Money and Finance, forthcoming.

Bjønnes, G., and D. Rime (2003), Dealer behavior and trading systems in the foreign exchange market, Journal of Financial Economics, forthcoming.

Rime, D. (2003), New Electronic Trading Systems in Foreign Exchange Markets, typescript, Norges Bank, January.

Rime, D. (2000), Private or public information in foreign exchange markets: An empirical analysis, typescript, University of Oslo, March.

Bjønnes, G., and D. Rime (2001), Customer Trading and Information in Foreign Exchange Markets, typescript, Norwegian School of Management, January.

Rafael Romeu (IMF) Email

Romeu, R. (2004), A puzzle of microstructure market maker models, IMF Working Paper WP/04/06, January.

Romeu, R. (2003), An Intraday Pricing Model of Foreign Exchange Markets, typescript, International Monetary Fund.

Nouriel Roubini (New York University) Email

Corsetti, G., P. Pesenti, and N. Roubini (2001), Does one Soros make a difference? The role of a large trader in currency crises, NBER Working Paper 8303.

Bronka Rzepkowski (CEPII, Paris)

Rzepkowski, B. (2004), Order flows, delta hedging and exchange rate dynamics, typescript.

Michael Sager (Putnam Investments and University of Wawrick)

Sager, M., and M. Taylor (2005), Under the microscope: the structure of the foreign exchange market, typescript, April.

Stephen Sapp (University of Western Ontario Email

Lo, I., and S. Sapp (2005), Price Aggressiveness and Quantity: how are they determined in a limited order market? typescript, University of Western Ontario, August.

Kaul, A., and S. Sapp (2002), Y2K fears and safe haven trading of the U.S. dollar, typescript, University of Alberta, October.

Lucio Sarno (University of Warwick, UK)

Sarno, L., and M. Taylor (2003), Foreign exchange market microstructure, chapter in The Economics of Exchange Rates, Cambridge University Press.

Leon, H., L. Sarno, and G. Valente (2003), Limits to speculation and non-linearity in deviations from UIP, typescript (preliminary draft).

Antonio Scalia (Bank of Italy)

Scalia, A. (2004), Is foreign exchange intervention effective? Some micro-analytical evidence from Central Europe, typescript, Bank of Italy, August.

Peter Schotman (University of Maastricht)

De Jong, F., R. Mahieu, P. Schotman, and I. van Leeuwen (2001), Price discovery on foreign exchange markets with differentially informed traders, August.

Stephan Schulmeister (Austrian Institute of Economic Research)

Schulmeister, S., Components of the Profitability of Technical Currency Trading, typescript.

Schulmeister, S. (2005), The Interaction between Technical Currency Trading and Exchange Rate Fluctuations, typescript, December.

Hyun Shin (Oxford University)

Cohen, B., and H. Shin (2002), Positive feedback trading under stress: Evidence from the US treasury securities market, typescript, London School of Economics, August.

Morris, S., and H. Shin (2000), Market risk with interdependent choice, typescript, London School of Economics.

Andrei Simonov (Stockholm School of Economics)

Massa, M., and A. Simonov (2001), Reputation and interdealer trading: A microstructure analysis of the treasury bond market, typescript, INSEAD, Journal of Financial Markets, forthcoming.

Gregorios Siourounis (London Business School)

Siourounis, G. (2003), Capital flows and exchange rates: An empirical analysis, typescript, London Business School.

Haakon Solheim (Central Bank of Norway)

Bjønnes, G., D. Rime, and H. Solheim (2004), Liquidity provision in the overnight foreign exchange market, Journal of International Money and Finance, forthcoming.

Oren Sussman (Oxford University) Email

Guembel, A., and O. Sussman (2001), Optimal exchange rates: A market microstructure approach, typescript, Oxford University.

Nikola Tarashev (Bank for International Settlements)

Tarashev, N. (2003), Currency crises and the informational role of interest rates, BIS Working Paper No. 135, September.

Mark Taylor (University of Warwick, UK) Email

Sager, M., and M. Taylor (2005), Under the microscope: the structure of the foreign exchange market, typescript, April.

Sarno, L., and M. Taylor (2003), Foreign Exchange Market Microstructure, chapter 9 in The Economics of Exchange Rates, Cambridge University Press.

Melvyn Teo (Singapore Management University)

O’Connell, P., and M. Teo (2003), Prospect theory and institutional investors, typescript, October.

David Tien (Santa Clara University)

Tien, D. (2002), Hedging Demand and Foreign Exchange Risk Premia, typescript, U.C. Berkeley, January.

Shane Underwood (Rice University)

Underwood, S. (2004), The Cross-Market Information Content of Stock and Bond Order Flow, typescript, October.

Irma van Leeuwen (Maastricht University)

De Jong, F., R. Mahieu, P. Schotman, and I. van Leeuwen (2001), Price discovery on foreign exchange markets with differentially informed traders, August.

Eric Van Wincoop (University of Virginia) Email

Bacchetta, P., and E. van Wincoop (2004), Can information dispersion explain the exchange rate disconnect puzzle? Typescript, University of Virginia.

Clara Vega (University of Rochester)

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2002), Micro effects of macro announcements: Real-time price discovery in foreign exchange, NBER Working Paper 8959, May, forthcoming in the American Economic Review.

Andersen, T., T. Bollerslev, F. Diebold, C. Vega (2003), Micro effects of macro announcements: Real-time price discovery in the stock market, the bond market, and the foreign exchange market, typescript.

Bauer, G., and C. Vega (2003), The monetary origins of asymmetric information in international equity markets, typescript, March.

Paolo Vitale (Università degli Studi G. D'Annunzio) Email

Vitale, P. (2005), A market microstructure analysis of foreign exchange intervention, typescript, December.

Breedon, F, and P. Vitale (2004), An empirical study of liquidity and information effects of order flow on exchange rates, typescript, July.

Vitale, P. (2004), A guided tour of the market microstructure approach to exchange rate determination, typescript, June.

Vitale, P. (2003), New Exchange Rate Economics, PhD course slides, Universita di Tor Vergata (Italy), December.

Payne, R., and P. Vitale (2000), A transaction-level study of the effects of central bank intervention on exchange rates, Journal of International Economics, forthcoming.

Jianxin Wang (University of New South Wales, Australia)

Carpenter, A., and J. Wang (2003), Sources of private information in FX trading, typescript, University of New South Wales, January.

Francis E. Warnock (University of Virginia - Darden Graduate School of Business Administration)

Warnock, F., V. Warnock (2005), International Capital Flows and U.S. Interest Rates, typescript, September.

Shang-Jin Wei (International Monetary Fund)

Wei, S., and J. Kim (1997), The big players in the foreign exchange market: Do they trade on information or noise? NBER Working Paper 6256.

Laura Weir (Federal Reserve Bank of New York)

Klitgaard, T., and L. Weir (2004), Exchange rate changes and net positions of speculators in the futures market, typescript, Federal Reserve Bank of New York, May.

Lin Wen (Arizona State University)

Melvin, M. and L. Wen (2002), The choice of direct dealing or electronic brokerage in foreign exchange trading, typescript, Arizona State University, September.

Frank Westerhoff (U. of Osnabrueck, Germany)

Westerhoff. F. and Manzan, S. (2004), Does liquidity in the FX market depend on volatility? Economics Bulletin, Vol. 6, No. 10, 1-8, August.

Jonathan Wright (Board of Governors of the Federal Reserve System)

Chaboud, A., and J. Wright (2003), Uncovered interest parity: It works, but not for long, International Finance Discussion Paper 752, January.

Thomas Wu (Princeton University) Email

Wu, T. (2005), Order flow in the south: anatomy of the Brazilian FX market, typescript, October.

Jing Yang (Bank of England)

Gradojevic, N., and J. Yang (2006), Non-linear, non-parametric, non-fundamental exchange rate forecasting, Journal of Forecasting, forthcoming.

Jian Yao (Morgan Stanley, New York)

Yao, J. (1998), Market making in the interbank foreign exchange market, Working Paper #S-98-3, New York University Salomon Center.

Yao, J. (1998), Spread Components and Dealer Profits in the Interbank Foreign Exchange Market, Working Paper #S-98-4, NYU Salomon Center.

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Correspondence
Richard K. Lyons
Former Dean, Haas School of Business
U.C. Berkeley
Berkeley, CA 94720-1900
Tel: 510-642-1059, Fax: 510-642-4700
lyons@haas.berkeley.edu.

Richard K. Lyons
Former Dean, Haas School of Business
U.C. Berkeley
Berkeley, CA 94720-1900
Tel: 510-642-1059
Fax: 510-642-4700
lyons@haas.berkeley.edu