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
page_count 38 s.
serial
ARLID cav_un_epca*0250449
ISSN 0014-2921
title European Economic Review
volume_id 48
volume 4 (2004)
page_num 747-784
publisher
name Elsevier
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