bibtype |
J -
Journal Article
|
ARLID |
0106276 |
utime |
20240103173131.2 |
mtime |
20050324235959.9 |
title
(primary) (eng) |
Asset Return Dynamics and the FX Risk Premium in a Decentralized Dealer Market |
specification |
|
serial |
ARLID |
cav_un_epca*0250449 |
ISSN |
0014-2921 |
title
|
European Economic Review |
volume_id |
48 |
volume |
4 (2004) |
page_num |
747-784 |
publisher |
|
|
title
(cze) |
Dynamika vynosu aktiv a rizikova premie na decentralizovanem mezidealerskem devizovem trhu |
keyword |
FX microstructure |
keyword |
exchange rate |
keyword |
uncovered parity |
author
(primary) |
ARLID |
cav_un_auth*0101079 |
name1 |
Derviz |
name2 |
Alexis |
institution |
UTIA-B |
full_dept |
Department of Econometrics |
fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
COSATI |
05D |
COSATI |
05Y |
cas_special |
research |
CEZ:AV0Z1075907 |
abstract
(eng) |
We construct a continuous time model of an FX market organized as a multiple dealership, where all market users have costly access to best available quotes. They interpret signals from the joint dealer-customer order flow to form subjective estimates of the relevant risk factors. The latter are represented by returns on domestic and foreign assets and the size of the aggregate cross-border transactions in the FX market. An "order flow-adjusted" uncovered parity formula is derived for this market. |
abstract
(cze) |
Je sestrojen model ve spojitem case pro devizovy trh organizovany ve decentralizovane podobe s nekolika dealery. Vsichni uzivatele tohoto trhu maji pristup k nejlepsim kotacim spojeny s nenulovymi naklady. Dealeri vyuzivaji signaly ohledne toku objednavek pro odvozeni subjektivnich odhadu relevantnich rizikovych faktoru. Posledne jmenovane se skladaji z vyonosu z tuzemskych a zahranicnich aktiv a objemu agregatnich preshranicnich forexovych transakci. Pro tento trh je odvozen vzorec typu nepokryte parity pro kurz zobecneny o clen zavisly na toku objednavek |
reportyear |
2005 |
RIV |
AH |
permalink |
http://hdl.handle.net/11104/0013458 |
ID_orig |
UTIA-B 20040088 |
arlyear |
2004 |
mrcbU63 |
cav_un_epca*0250449 European Economic Review 0014-2921 1873-572X Roč. 48 č. 4 2004 747 784 Elsevier |
|