The Foreign Exchange Spot Market

2015 ◽  
pp. 83-103
Keyword(s):  
Foreign Exchange ◽  
Spot Market

Price Discovery and Spillover Effect between Currency Futures Market and Spot Market-Comparing Developing Country with Developed Country

2014 ◽  
Vol 22 (2) ◽  
pp. 193-221
Author(s):  
Xing Qun Xue ◽  
Sae Woon Park ◽  
Hee Ho Kim
Keyword(s):  
Emerging Markets ◽  
Foreign Exchange ◽  
Emerging Market ◽  
Spillover Effect ◽  
Spot Market ◽  
Future Market ◽  
Volatility Spillover ◽  
Developed Country ◽  
Foreign Exchange Intervention ◽  
Volatility Spillover Effect

This study examines the volatility spillover effect and forward pricing effect between futures and spot markets, using the daily data of January 1988~April 2013 and Bounds test, ARDL model, DCC-GARCH model and the new method of spillover index calculation. In particular, the comparison between the developed and emerging markets will shed a light on a difference between the efficiencies of the two groups of markets. Our results show that the volatility spillover effect in the developed market was less in magnitude, compared to that effect in the emerging market. The causal influence from the future market to the spot market was greater in the developed market than in the emerging markets. This indicates that the foreign exchange markets (future and spot both) were much more efficient in the developed markets than in the emerging markets. This also implies very fruitful guides for the foreign exchange intervention policy, including signaling effect, portfolio effects, and direct and indirect intervention effects.

scholarly journals The Long Memory of Order Flow in the Foreign Exchange Spot Market

2016 ◽  
Vol 02 (01) ◽  
pp. 1650001 ◽  
Author(s):  
Martin D. Gould ◽  
Mason A. Porter ◽  
Sam D. Howison
Keyword(s):  
Foreign Exchange ◽  
Long Memory ◽  
Structural Breaks ◽  
Alternative Hypothesis ◽  
Empirical Studies ◽  
Spot Market ◽  
Order Flow ◽  
Stable Estimation ◽  
Using Data ◽  
Empirical Property

We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in contrast to existing empirical studies of other markets, our data enables us to perform statistically stable estimation without needing to aggregate data from different trading days. We find strong evidence of long memory, with a Hurst exponent [Formula: see text], for each of the three currency pairs and on each trading day in our sample. We repeat our calculations using data that spans different trading days, and we find no significant differences in our results. We test and reject the hypothesis that the apparent long memory of order flow is an artifact caused by structural breaks, in favor of the alternative hypothesis of true long memory. We therefore conclude that the long memory of order flow in the FX spot market is a robust empirical property that persists across daily boundaries.

Criteria for Broadening the SDR Currency Basket

Policy Papers ◽  
2011 ◽  
Vol 2011 (77) ◽  
Author(s):  
Keyword(s):  
Financial Markets ◽  
Foreign Exchange ◽  
Spot Market ◽  
Data Availability ◽  
Foreign Exchange Reserves ◽  
International Debt ◽  
International Bank ◽  
Formal Requirement ◽  
Pros And Cons ◽  
Currency Composition

The paper explores the pros and cons of maintaining the current “freely usable currency” criterion, and clarifies indicators for assessing it. The freely usable concept and its two key elements—currencies should be "widely used" and "widely traded"—are set out in the Articles and serve important operational purposes. A formal requirement for a currency to be freely usable was adopted for SDR valuation only in 2000, although considerations relating to this concept had been taken into account earlier. Indicators for assessing freely usable currencies were first discussed in 1977, and are updated to reflect subsequent developments in financial markets and data availability. The paper suggests as indicators for "wide use" the currency composition of foreign exchange reserves, international debt securities, and international bank liabilities; and for "wide trading" it proposes foreign exchange spot market turnover.

scholarly journals The Long Memory of Order Flow in the Foreign Exchange Spot Market

2015 ◽  
Author(s):  
Martin David Gould ◽  
Mason Alexander Porter ◽  
Sam Howison
Keyword(s):  
Foreign Exchange ◽  
Long Memory ◽  
Spot Market ◽  
Order Flow

Actual Problems of Economic Policy

2003 ◽  
pp. 23-38 ◽  
Author(s):  
M. Ershov
Keyword(s):  
Economic Growth ◽  
Economic Policy ◽  
Foreign Exchange ◽  
World Economy ◽  
Domestic Economy ◽  
The World ◽  
Exchange Policy ◽  
Effective Integration

At present Russia faces the task of great importance - effective integration into the world economy. The success of this process largely depends on the strength of the domestic economy and stable economic growth. To attain such a goal certain changes in economic approaches are required which imply more active, focused and concerted steps in the monetary, fiscal and foreign exchange policy.

Economic Growth: New Problems and New Risks

2006 ◽  
pp. 20-37 ◽  
Author(s):  
M. Ershov
Keyword(s):  
Economic Growth ◽  
Foreign Exchange ◽  
Driving Force ◽  
Structural Changes ◽  
Rate Of Growth

The economic growth, which is underway in Russia, raises new questions to be addressed. How to improve the quality of growth, increasing the role of new competitive sectors and transforming them into the driving force of growth? How can progressive structural changes be implemented without hampering the rate of growth in general? What are the main external and internal risks, which may undermine positive trends of development? The author looks upon financial, monetary and foreign exchange aspects of the problem and comes up with some suggestions on how to make growth more competitive and sustainable.

Sign in / Sign up

Export Citation Format

Share Document