scholarly journals Teaching The Bid-Ask Spread And Triangular Arbitrage For The Foreign Exchange Market

2018 ◽  
Vol 11 (4) ◽  
pp. 55-62
Author(s):  
Jeng-Hong Chen
Keyword(s):  
International Finance ◽  
Event Study ◽  
Foreign Exchange ◽  
Market Microstructure ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Bid Ask Spread ◽  
Arbitrage Opportunities ◽  
The Impact ◽  
Fx Market

The foreign exchange (FX) market is an important chapter in international finance. Understanding the market microstructure is critical for learning the FX market.  To assist students better understand the FX market microstructure, an instructor can use an event study with minute-by-minute quote data provided in the Excel assignment, asking students to investigate the impact of an event on the bid-ask spread and triangular arbitrage opportunities.  This pedagogical paper provides two examples of making the Excel assignment for reference.

scholarly journals Central bank's communication and markets' reactions: Polish evidence

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Janusz Brzeszczyński ◽  
Jerzy Gajdka ◽  
Tomasz Schabek ◽  
Ali M Kutan
Keyword(s):  
Monetary Policy ◽  
Foreign Exchange ◽  
Financial Market ◽  
Foreign Exchange Market ◽  
Emerging Market ◽  
Public Information ◽  
Exchange Market ◽  
Market Segments ◽  
Content Type ◽  
The Impact

PurposeThis study contributes to the pool of knowledge about the impact of monetary policy communication of central banks on financial instruments' prices and assets' value in emerging markets.Design/methodology/approachEmpirical analysis is executed using the National Bank of Poland (NBP) announcements about its monetary policy covering the data from the broad financial market in its three main segments: stock market, foreign exchange market and bonds market. The reactions are measured relative to the changes in the NBP announcements and also with respect to investors' expectations. Autoregressive conditional heteroscedasticity (ARCH) models with dummy variables are used as the main methodological tool.FindingsBonds market and foreign exchange market are the most sensitive market segments, while interest rate and money supply are the most influential types of announcements. The changes of the revealed new macroeconomic figures had more impact on assets' prices movements than the deviations from their expectations. Moreover, greater diversity of the Monetary Policy Council (MPC) members' opinions on the voted motions, captured in the MPC voting reports, is associated with more cases of statistically significant NBP communication events.Practical implicationsThe findings have direct relevance for fund managers, portfolio analysts, investors and also for financial market regulators.Originality/valueThe results provide novel evidence about how the emerging financial market responds to monetary policy announcements. They help understand the nature of the impact of public information on financial assets' valuation and on movements of their prices, analysed comprehensively in three market segments, in the emerging market environment.

The Impact of Monetary Policy Announcements on the Australian Foreign Exchange Market

2012 ◽  
Author(s):  
Bronwyn McCredie ◽  
Paul Docherty ◽  
Stephen Andrew Easton ◽  
Katherine Uylangco
Keyword(s):  
Monetary Policy ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
The Impact
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