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【资料名称】：The Microstructure Approach to Exchange Rates
【资料作者】：Richard K. Lyons
【出版社】： The MIT Press
【简介及目录】：
Product Details
- Hardcover: 345 pages
- Publisher: The MIT Press; 1st edition (December 1, 2001)
- Language: English
- ISBN-10: 026212243X
Review
"A thought-provoking introduction to the subject."
— Mark S. Rzepczynski, Financial Analysts Journal
"Aninnovative and important book that will be required reading forresearchers in both microstructure and international finance."
—Maureen O'Hara, R. W. Purcell Professor of Finance, Cornell University
Product Description
Historically, the fields of exchange-rate economics and microstructurefinance have progressed independently of each other. Recentinteraction, however, has given rise to a microstructure approach toexchange rates. This book focuses on the economics of financialinformation and how microstructure tools help to clarify the types ofinformation most relevant to exchange rates. The microstructureapproach views exchange rates from the perspective of the trading room,the place where exchange rates are actually determined. Emphasizinginformation economics over institutional issues, the approach departsfrom three unrealistic assumptions common to previous approaches: thatall information relevant to exchange rates is publicly available, thatall market participants are alike in their goals or in how they viewinformation, and that how trading is organized is inconsequential forexchange rates. The book shows how exchange-rate behavior previouslythought to be particularly puzzling can be explained using themicrostructure approach. It contains a combination of theoretical andempirical work.
About the Author
Richard K. Lyons is Professor of Finance and Economics at the Haas School of Business, the University of California, Berkeley.
Table of Contents
Preface ix
1 Overview of the Microstructure Approach 1
2 The Economics of Order Flow Information 19
3 The Institutional Setting 37
4 Theoretical Frameworks 63
5 Empirical Frameworks 113
6 Exchange Rate Models: Macro to Microfoundations 151
7 Macro Puzzles: The Challenge for Microstructure 171
8 Microstructure and Central Bank Intervention 221
9 Customers: Underlying Demand in the Economy 243
10 Looking Forward 263
Notes 279
References 305
Index 325
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