AN OVER-THE-COUNTER APPROACH TO THE FOREX MARKET
- Title
- AN OVER-THE-COUNTER APPROACH TO THE FOREX MARKET
- Author
- 정국모
- Keywords
- EXCHANGE-RATE DYNAMICS; INTERNATIONAL CURRENCY; LIQUIDITY; SEARCH; PRICES; MONEY; MIDDLEMEN; MODEL; INFORMATION; POLICY
- Issue Date
- 2018-05
- Publisher
- WILEY
- Citation
- INTERNATIONAL ECONOMIC REVIEW, v. 59, no. 2, page. 859-905
- Abstract
- The foreign exchange (FOREX) market is an over-the-counter market characterized by intermediation and significant bid-ask spreads. However, most of the existing international macroeconomics literature models the FOREX as a standard Walrasian market. This article constructs a dynamic general equilibrium model of intermediation in the FOREX market. We use our framework to compute standard measures of FOREX liquidity, such as bid-ask spreads and trade volume, and study how they are affected by macroeconomic fundamentals and market microstructure. We also study how FOREX market microstructure affects the volume of international trade and, consequently, welfare. Our empirical exercise offers support to the models' main predictions.
- URI
- https://onlinelibrary.wiley.com/doi/abs/10.1111/iere.12290https://repository.hanyang.ac.kr/handle/20.500.11754/118602
- ISSN
- 0020-6598; 1468-2354
- DOI
- 10.1111/iere.12290
- Appears in Collections:
- COLLEGE OF INTERNATIONAL STUDIES[S](국제학부) > INTERNATIONAL STUDIES(국제학부) > Articles
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