The Microstructure of the Foreign-Exchange Market: A Selective Survey of the Literature

By Lucio Sarno, Mark P. Taylor. 2001

114 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/01cc03461118aa095c155dc30c55c47169aee7c3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (2006, unknown): “The advantage of using the MMS forecasts is that the properties of these exchange rate expectations are well documented in the literature (e.g., see the references in Takagi, 1991; Osterberg, 2000; Sarno and Taylor, 2001).”
Arbitrage in the foreign exchange market: Turning on the microscope (2008, unknown): “This conjecture was rationalized by Taylor (1989) on the basis of prudential credit limits that make arbitrage relatively more appealing at short maturities than at long maturities in a decentralized market where credit assessment is made cumbersome by lack of transparency.”
Understanding the Forward Premium Puzzle: A Microstructure Approach (2009, unknown): “The first feature is problematic because, the foreign exchange market is actually a decentralized, over-the-counter market in which market makers play a central role (see Lyons (2001) and Sarno and Taylor (2001).”
The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007, background): “They argue that this is evidence of the " coordination channel " of intervention effectiveness, which has been put forward by Taylor (1994, 2004) and Sarno and Taylor (2001a).”
Y2K Fears and Safe Haven Trading of the U.S. Dollar (2006, unknown): “Many studies show that the bid-ask spread is related to both quoting frequency and volatility (see, for instance, Dacrogna et al., 2001; Sarno and Taylor, 2001; and Lyons, 2002b).”