Public information arrival, exchange rate volatility, and quote frequency

被引：77

作者：

Melvin, M ^{[1
]}

Yin, XX

机构：

[1] Arizona State Univ, Tempe, AZ 85287 USA

[2] Amer Express Co, New York, NY 10285 USA

来源：

ECONOMIC JOURNAL | 2000年 / 110卷 / 465期

关键词：

D O I：

10.1111/1468-0297.00558

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The mixture of distributions model motivates the role of public information arrival in Foreign exchange market dynamics. Public information arrival is measured using Reuters Money-Market Headline News. The exchange rates are high-frequency mark/dollar and yen/dollar quotes. Estimation results suggest that higher than normal public information brings more than the normal quoting activity and volatility. The results have implications for the debate over regulation of the foreign exchange market. Foreign exchange activity is not largely self-generating. Trading is likely providing the function ii is meant to provide-adjusting prises and quantities to achieve an efficient allocation of resources.

引用

页码：644 / 661

页数：18

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