The Microstructure Approach to Exchange Rates

By Richard K. Lyons. 2001

980 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2427f185b48b98cabc209e493970b4346f62df15

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Citations in the corpus

Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability (2005, background): “Given the wide use of short selling in the foreign exchange market (e.g., Lyons, 2001) we allow ω to be defined between −100 and 200, which essentially allows for full proceeds of short sales and assumes no transactions costs.”
Exchange Rate, Equity Prices and Capital Flows (2006, neutral): “Evans and Lyons (2002a, 2002b, 2002c, 2003), Hau, Killeen, and Moore (2002), Killeen, Lyons, and Moore (2006), Lyons (2001), and Rime (2001) show that order flow from electronic trading systems has remarkably high correlation with contemporaneous exchange rate changes.”
Volume and Volatility in the Fx-Market: Does it Matter Who You are? (2002, neutral): “Since large banks have more customer orders and thus see more order flows, these banks are potentially better informed than smaller banks (Lyons, 2001).”
Macroeconomic news, order flows and exchange rates (2003, neutral): “For a full description of the segments of the spot FX market and the data available from each see the excellent descriptions contained in Lyons (2001) The raw data set is composed of transaction level information, covering three major floating rates: USD/EUR (dollars per euro), GBP/EUR (pounds per…”
Under the microscope: the structure of the foreign exchange market (2006, background): “As Lyons (2001) notes, microstructural approaches to exchange rate determination are not necessarily at odds with asset-price models.”
Rare Disasters and Exchange Rates (2008, neutral): “Therefore, the currencies of high interest rate countries appreciate on average.”
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (2006, positive): “…strategy exceeds the marginal benefit.6 The crucial implication of the above analysis is that when limits to speculation of the kind described by Lyons (2001) are taken into account, the spot exchange rate and forward exchange rate need not move together at all times and, indeed, they may even…”
An Economic Evaluation of Empirical Exchange Rate Models (2009, methodology): “For example, Bilson (1981) argues that regressions conditioning on the forward premium can potentially yield substantial economic returns, whereas arguments based on limits to speculation would suggest otherwise (Lyons, 2001; Sarno, Valente and Leon, 2006).”
Exchange rate puzzles: A tale of switching attractors (2006, neutral): “A second approach starts from the analysis of the microstructure of the foreign exchange market (Evans and Lyons, 1999; Lyons, 2001).”
The Empirics of Foreign Exchange Intervention in Emerging Market Countries: The Cases of Mexico and Turkey (2004, neutral): “Evans and Lyons (2001, 2002) found that intervention has a significant price impact in the most liquid currency pair market (before the introduction of the euro), the U.S. dollar-deutsche mark.”