Bibliography of Microstructure of Foreign Exchange Markets∗
Total Page:16
File Type:pdf, Size:1020Kb
Load more
Recommended publications
-
This Offering Memorandum Constitutes an Offering of the Securities
This Offering Memorandum constitutes an offering of the securities described herein in all provinces and territories of Canada and only to whom they may be lawfully offered for sale and is not, and under no circumstances is to be construed as, a prospectus or public offering of such securities or advertisement relating to units of the funds described herein. No securities commission or similar authority in Canada has in any way passed upon the merits of the securities offered hereunder nor has it reviewed this Offering Memorandum and any representation to the contrary is an offence. As there is no market for these securities, it may be difficult or even impossible for investors to sell these securities. They may sell them only pursuant to an exemption prescribed by the securities legislation of their particular province or territory or with a prospectus or with the granting of an exemption. The securities, however, may be redeemed in accordance with the provisions of this offering memorandum. ARROW DIVERSIFIED FUND BROADVIEW DARK HORSE LONG/SHORT FUND CURVATURE MARKET NEUTRAL FUND EAST COAST INVESTMENT GRADE II FUND HIRSCH PERFORMANCE FUND LAZARD GLOBAL CREDIT FUND LAZARD GLOBAL CREDIT II FUND SG U.S. MARKET NEUTRAL FUND _______________________________ Offering Memorandum _______________________________ January 29, 2016 TABLE OF CONTENTS GLOSSARY OF TERMS ..................................................................................................................................................................................................... -
Trading in Foreign Exchange Markets
Trading in Foreign Exchange Markets Four Essays on the Microstructure of Foreign Exchange Dagfinn Rime Dissertation for the Degree of Dr. Polit. in the Norwegian School of Management BI’s Doctoral Program in collaboration with the University of Oslo. Series of Dissertations 2/2001 Norwegian School of Management BI Department of Economics Dafinn Rime: Trading in Foreign Exchange Markets: Four Essays on the Microstructure of Foreign Exchange ã Dagfinn Rime 2001 Series of Dissertations 2/2001 ISBN: 82-7042-432-3 ISSN: 1502-2099 Norwegian School of Management BI P.O.B. 580 N-1302 Sandvika Phone: +47 67 55 70 00 Printing: Nordberg Hurtigtrykk To be ordered from: Juul Møller Bøker Phone: +47 67 55 74 51 Fax: +47 67 55 74 50 Mail: [email protected] CONTENTS 1 Overview and Introduction 1 2 FX Trading . LIVE! Dealer Behavior and Trading Systems in Foreign Exchange Markets 25 3 Customer Trading and Information in Foreign Exchange Markets 63 4 Private or Public Information in Foreign Exchange Markets? An Empirical Analysis101 5 U.S. Exchange Rates and Currency Flows 149 iii iv CONTENTS PREFACE Writing this dissertations has been like a long journey. In the beginning everything was new and exciting, with plenty of paths to follow, all leading down to the Great Big Beach of Doctoral Courses. Down at the beach I met this really cool guy (Geir), and after a couple of beers and deciding on a topic, I felt like I was cruising in a red Ferrari on the Highway to Completion. However, that was only in my too optimistic mind. -
Foreign Exchange Rate Risk in Microfinance
FocusNote NO. 31 JANUARY 2006 FOREIGN EXCHANGE RATE RISK IN MICROFINANCE: WHAT IS IT AND HOW CAN IT BE MANAGED? Introduction Many borrowing microfinance institutions (MFIs) are not adequately managing their The authors of this Focus Note exposure to foreign exchange rate risk. There are at least three components of foreign are Scott Featherston, consult- exchange rate risk: (1) devaluation or depreciation risk, (2) convertibility risk, and (3) ant, Elizabeth Littlefield, CEO transfer risk. CGAP, and Patricia Mwangi, microfinance specialist, CGAP. Devaluation or depreciation risk typically arises in microfinance when an MFI acquires debt in a foreign currency, usually U.S. dollars (USD) or euros, and then lends CGAP, the Consultative Group those funds in domestic currency (DC). The MFI then possesses a liability in a hard to Assist the Poor, is a currency and assets in a DC (in which case, an MFI’s balance sheet is said to contain a consortium of 31 development agencies that support “currency mismatch”). Fluctuations in the relative values of these two currencies can microfinance. More information adversely affect the financial viability of the organization. is available on the CGAP Convertibility risk is another possible component of foreign exchange risk. For the Web site: www.cgap.org. purposes of this note, convertibility risk refers to the risk that the national government will not sell foreign currency to borrowers or others with obligations denominated in hard currency. Transfer risk refers to the risk that the national government will not allow foreign currency to leave the country regardless of its source. Since MFIs operate in developing countries where the risk of currency depreciation is highest, they are particularly vulnerable to foreign exchange rate risk. -
Central Bank Survey of Foreign Exchange and Derivatives Market Activity
FR 3036 OMB No. 7100-0285 Hours per Response: 55.0 Approval expires: May 31, 2022 Instructions for the Central Bank Survey of Foreign Exchange and Derivatives Market Activity Turnover Survey April 2019 FR 3036 OMB No. 7100-0285 This report is authorized by law (12 U.S.C. §§ 225a and 263). Your voluntary cooperation in submitting this report is needed to make the results comprehensive, accurate and timely. The Federal Reserve may not conduct or sponsor, and an organization is not required to respond to, a collection of information unless it displays a currently valid OMB control number. The Federal Reserve System regards the individual institution information provided by each respondent as confidential [5 U.S.C. §552(b)(4)]. If it should be determine d that any information collected on this form must be released, other than in the aggregate in ways that will not reveal the amounts reported by any one institution, respondents will be notified. Public reporting burden for this collection of information is estimated to be 55 hours per response, including time to gather and maintain data in the proper form, to review instructions and to complete the information collection. Send comments regarding this burden estimate to: Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551; and to the Office of Management and Budget, Paperwork Reduction Project, (7100-0285), Washington, DC 20503. Turnover Survey FR 3036 April 2019 Instructions A. Introduction These instructions cover the turnover part of the survey. The turnover part of the survey will be conducted on a locational basis. -
Analysis of Exchange Rate Risk & Hedging Strategies
Analysis of Exchange Rate Risk & Hedging Strategies - Study on Dutch Listed Firms Author: Akash Kumar (11133317) Contact: [email protected] Supervisor: Prof. Jeroen Ligterink Program: Amsterdam MBA (Full Time – 2016-17) Analysis of Exchange Rate Risk & Hedging Strategies ABSTRACT Currency risk arises from a combination of foreign currency exposure and volatility in foreign currency exchange rate with respect to domestic currency. As the firms may experience considerable exposure to foreign exchange rate risk because of foreign currency based activities and international competition. Many currencies are volatile as they show high fluctuations in the value due to various factors, such as trading speculation, change in global political and economic scenario, policy of central banks and many other factors. To minimize the effect of exchange rate risk, many firms use hedging techniques to over exposed risk, which may help to minimize the effects of exchange rate risk. In this paper, some hedging strategies will be discussed, for minimizing the firm’s exposure due to exchange rate fluctuations and test whether hedging diminishes the firm’s exposure. We analyse the relationship between the change of exchange rate and stock returns of 17 Dutch firms over a period of 10 years (2006-2016). We find that 41% of the firms are significantly exposed to exchange rate risk. We also examined the relationship between the coefficient of exchange rate exposure and foreign currency derivatives used by the firm to hedge the currency exposure. We were not able to any significant relationship between coefficient of exchange rate exposure and foreign currency derivatives. CONTENTS Abstract List of Abbreviations I. -
Foreign Exchange Training Manual
CONFIDENTIAL TREATMENT REQUESTED BY BARCLAYS SOURCE: LEHMAN LIVE LEHMAN BROTHERS FOREIGN EXCHANGE TRAINING MANUAL Confidential Treatment Requested By Lehman Brothers Holdings, Inc. LBEX-LL 3356480 CONFIDENTIAL TREATMENT REQUESTED BY BARCLAYS SOURCE: LEHMAN LIVE TABLE OF CONTENTS CONTENTS ....................................................................................................................................... PAGE FOREIGN EXCHANGE SPOT: INTRODUCTION ...................................................................... 1 FXSPOT: AN INTRODUCTION TO FOREIGN EXCHANGE SPOT TRANSACTIONS ........... 2 INTRODUCTION ...................................................................................................................... 2 WJ-IAT IS AN OUTRIGHT? ..................................................................................................... 3 VALUE DATES ........................................................................................................................... 4 CREDIT AND SETTLEMENT RISKS .................................................................................. 6 EXCHANGE RATE QUOTATION TERMS ...................................................................... 7 RECIPROCAL QUOTATION TERMS (RATES) ............................................................. 10 EXCHANGE RATE MOVEMENTS ................................................................................... 11 SHORTCUT ............................................................................................................................... -
Financial Services Guide As Amended, Supplemented Or Updated from Time to Time
Ingenuity that bridges you with the global marketplace Product Disclosure Statement November 24, 2016 | Version 1.3 Issuer: Cambridge Mercantile (Australia) Pty. Ltd. (ACN 126642448) Address: Suite 13.02, Level 13, 35 Clarence Street Sydney, NSW, Australia Web: www.cambridgefx.com.au Phone: 1300 553 140 Fax: (02) 9262 1522 Email: [email protected] Australian Financial Services Licence Number: 351278 Table of Contents 1. Key Information – pg. 3 2. Spot Contracts – pg. 4 3. Forward Contracts – pg. 5 4. Non-Deliverable Forwards – pg. 8 5. Bids (or Market Orders) –pg. 11 6. Options –pg. 13 7. Significant benefits common to all our products –pg.20 8. Significant risks common to all our products –pg. 20 9. Are there any credit requirements prior transacting? –pg. 21 10.How we are paid, and what are the product costs? –pg. 22 11.Terms and Conditions –pg. 22 12.Providing instructions by telephone –pg. 23 13.How we handle your money –pg. 23 14.Client Monies –pg. 23 15.Stopping or cancelling a payment –pg. 23 16.Tax implications –pg. 24 17.What are our different roles? –pg. 24 18.How do we handle your personal information? –pg. 24 19.Would you like more information? –pg. 24 20.What should you do if you have a complaint? –pg. 24 21.Glossary –pg. 25 2 Cambridge | Product Disclosure Statement | 24 - 11 - 2016 1. Key Information Cambridge Mercantile (Australia) Pty. Ltd. [ACN 126642448 and Australian Financial Services License 351278] (Cambridge, us, we, our) is the issuer of the products described in this Product Disclosure Statement (PDS). -
An Empirical Study of the Foreign-Exchange Market: Test of a Theory
PRINCETON STUDIES IN INTERNATIONAL FINANCE NO. 20 An Empirical Study of the Foreign-Exchange Market: Test of a Theory Fred R. Glahe INTERNATIONAL FINANCE SECTION DEPARTMENT OF ECONOMICS PRINCETON UNIVERSITY • 1967 PRINCETON STUDIES IN INTERNATIONAL FINANCE Tms is the twentieth number in the series PRINCETON STUDIES IN INTER- NATIONAL FINANCE, published from time to time by the International Finance Section of the Department of Economics at Princeton Uni- versity. The author, Fred R. Glahe, is Assistant Professor of Economics at the University of Colorado. An article of his, "Professional and Nonprofessional Speculation, Profitability, and Stability," appeared in the July 1966 issue of THE SOUTHERN ECONOMIC JOURNAL. This series is intended to be restricted to meritorious research studies in the general field of international financial problems, which are too technical, too specialized, or too long to qualify as ESSAYS. The Section welcomes the submission of manuscripts for this series. While the Section sponsors the STUDIES, the writers are free to de- velop their topics as they will. Their ideas and treatment may or may not be shared by the editorial cominittee of the Section or the members of the Department. FErsrz MACHLUP Director Princeton University PRINCETON STUDIES IN INTERNATIONAL FINANCE NO. 20 An Empirical Study of the Foreign-Exchange Market: Test of a Theory by Fred R. Glahe INTERNATIONAL FINANCE SECTION DEPARTMENT OF ECONOMICS PRINCETON UNIVERSITY PRINCETON, NEW JERSEY 1967 Copyright © 1967, by International Finance Section Department of Economics Princeton University L.C. Card 67-24455 Printed in the United States of America by Princeton University Press at Princeton, New Jersey CONTENTS Page 1. -
Freely Floating Exchange Rates Do Not Systematically Overshoot
UC Santa Barbara Departmental Working Papers Title Freely Floating Exchange Rates Do Not Systematically Overshoot Permalink https://escholarship.org/uc/item/97m8z6hw Author Pippenger, John Publication Date 2008-02-01 eScholarship.org Powered by the California Digital Library University of California Freely Floating Exchange Rates Do Not Systematically Overshoot John Pippenger Department of Economics University of California Santa Barbara California 93106 [email protected] The exchange rate literature contains two inconsistent strands. There is a large theoretical and empirical literature on overshooting. In that literature overshooting is an important explanation for exchange rate volatility. A separate literature says that exchange rates are martingales and that models do not beat a random walk. Both can not be true. I show that the evidence for overshooting is highly suspect while the evidence that flexible exchange rates are approximately martingales is rock solid. Given the strength of the evidence, models that imply overshooting probably should be rejected out of hand. 11 February 2008 JEL Classification numbers: F3, F31 Keywords: overshooting, exchange rates, volatility, martingales The literature on exchange rates contains two mutually inconsistent strands. On the one hand there is a large theoretical and empirical literature on overshooting.1 According to that literature, overshooting is an important explanation for the volatility of exchange rates. On the other hand a large literature says that exchange rates are essentially martingales and that economic models cannot beat a random walk out of sample.2 Both of these strands can not be true. They are not both true. As shown below, the evidence for overshooting is highly suspect. -
The Foreign Exchange and Interest Rate Derivatives Markets
The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States, April 2016 Federal Reserve Bank of New York Turnover in the United States, April 2016 The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States, April 2016 Background The Federal Reserve Bank of New York together with over fifty other central banks conducted a survey of turnover in the over-the-counter (OTC) foreign exchange and interest rate derivatives markets for April 2016. This worldwide, cooperative effort is undertaken every three years and is coordinated by the Bank for International Settlements (BIS). The “triennial survey” is a comprehensive source of information on the size and structure of the OTC foreign exchange and derivatives markets. To measure the OTC markets, the dealers that make markets in foreign exchange and interest rate derivatives reported trading volumes for April 2016 to the central banks in the countries where they are located. The participants reported separately the volume of trading they conduct with each other to permit adjustments for double reporting. The central banks then compiled national aggregates from the dealers’ data and the BIS compiled global totals from the central banks’ national data.1 (See Annex I for a complete description of survey terms and methods.) In 2016, a total of twenty-three dealers in the United States participated in the foreign exchange part of the survey and nineteen in the interest rate derivatives section, slightly changed from 2013, which had twenty-four and eighteen participating institutions respectively. Participating dealers were commercial banks, U.S. offices of foreign banking organizations, and securities brokers/dealers. -
Foreign Exchange Rate
EDUCATION IN ECONOMICS SERIES NO. 4 FOREIGN EXCHANGE RATE BANK OF RAL NIG NT ER CE IA CENTRAL BANK OF NIGERIA BANK OF RAL NIG NT ER CE IA CENTRAL BANK OF NIGERIA RESEARCH DEPARTMENT 2016 2016 EDUCATION IN ECONOMICS SERIES No. 4 FOREIGN EXCHANGE RATE BANK OF RAL NIG NT ER CE IA CENTRAL BANK OF NIGERIA RESEARCH DEPARTMENT 2016 Copyright © 2016 Central Bank of Nigeria 33 Tafawa Balewa Way Central Business District P.M.B. 0187, Garki Abuja, Nigeria. Studies on topical issues affecting the Nigerian economy are published in order to communicate the results of empirical research carried out by the Bank to the public. In this regard, the findings, interpretation, and conclusions expressed in the papers are entirely those of the authors and should not be attributed in any manner to the Central Bank of Nigeria or institutions to which they are affiliated. The Central Bank of Nigeria encourages dissemination of its work. However, the materials in this publication are copyrighted. Request for permission to reproduce portions of it should be sent to the Director of Research, Research Department, Central Bank of Nigeria, Abuja. ISBN: 978-978-8714-03-3 Table of Contents 1.0 Introduction……………………………………………………....…………1 2.0 Conceptual Issues…………………………….……………………………1 2.1 Exchange Rate……………………………………….…………………….1 2.2 Cross Exchange Rate …………………………………………...………..3 2.3 End-Period Exchange Rate…………………………………...………....4 2.4 Average Exchange Rate………………………………..………….…….4 2.5 The Appreciation / Depreciation of the Exchange Rate…….……4 2.6 Exchange Rate Premium…………………………..……………………..5 -
Foreign Currency Facilities
FOREIGN CURRENCY FACILITIES SPOT CONTRACT, FORWARD EXCHANGE CONTRACT, SWAP CONTRACT, HISTORIC RATE ROLLOVER, FOREIGN CURRENCY ACCOUNT, FOREIGN CURRENCY DEPOSIT AUGUST 2021 BOQB FOREIGN CURRENCY FACILITIES 1 Spot Contract Forward Exchange Contract Swap Contract Historic Rate Rollover Foreign Currency Account Foreign Currency Deposit This document must be read together with the Schedule of Fees and Charges (page 17), which forms part of this Product Disclosure Statement and any Supplementary Terms and Conditions. CONTENTS 1. IMPORTANT INFORMATION 2 4. GENERAL INFORMATION 10 1.1 WELCOME TO BOQ 2 4.1 IMPORTANT INFORMATION ABOUT FOREIGN CURRENCY FACILITIES 10 1.2 GENERAL INFORMATION ONLY 2 4.2 ALLOWING OTHERS TO OPERATE ON YOUR 1.3 HOW DOES THIS DOCUMENT AFFECT YOU? 2 BEHALF 11 1.4 NEED TO KNOW MORE? 2 4.3 CHANGES TO TERMS AND CONDITIONS OF 1.5 CONTACT US BY: 2 FOREIGN CURRENCY FACILITIES 11 4.4 BANKING CODE OF PRACTICE 12 2. FOREIGN EXCHANGE CONTRACTS 3 4.5 WHEN WE CAN OPERATE ON YOUR FOREIGN CURRENCY ACCOUNT FACILITY 12 2.1 TYPES OF FOREIGN EXCHANGE CONTRACTS 3 4.6 COVERING US FOR LOSS 12 2.2 FOREIGN EXCHANGE SPOT CONTRACT 3 4.7 CUSTOMER INTEGRITY 12 2.3 FORWARD EXCHANGE CONTRACT 3 4.8 OTHER INFORMATION WE MAY REQUIRE 2.4 FOREIGN EXCHANGE SWAP CONTRACT 3 FROM YOU 12 2.5 HISTORIC RATE ROLLOVER 3 4.9 ANTI-MONEY LAUNDERING, COUNTER-TERRORISM 2.6 SUITABILITY 3 FINANCING AND ECONOMIC AND TRADE SANCTIONS 12 2.7 FEATURES AND BENEFITS OF FOREIGN 4.10 OTHER INFORMATION WE MAY REQUIRE EXCHANGE CONTRACTS 3 FROM YOU 13 2.8 EXCHANGE RATES FOR FOREIGN EXCHANGE 4.11 IF YOU HAVE A PROBLEM OR DISPUTE 13 CONTRACTS 3 4.12 HOW TO CONTACT US? 13 2.9 SPOT RATE 3 4.13 HOW WILL YOUR COMPLAINT BE HANDLED? 13 2.10 EXCHANGE RATES FOR FOREIGN EXCHANGE 4.14 WHAT TO DO IF YOU FEEL YOUR COMPLAINT CONTRACTS 4 HAS NOT BEEN RESOLVED? 14 2.11 ENTERING INTO FOREIGN EXCHANGE CONTRACTS 4 4.15 CHANGING YOUR DETAILS 14 2.12 CREDIT APPROVAL 4 4.16 CONTACTING YOU 14 2.13 HISTORIC RATE ROLLOVERS 4 4.17 PRIVACY AND CONFIDENTIALITY 14 2.14 PRE-DELIVERIES 4 2.15 CANCELLATIONS 4 5.