Institute of Information Theory and Automation

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Bibliography

Journal Article

Asset Return Dynamics and the FX Risk Premium in a Decentralized Dealer Market

Derviz Alexis

: European Economic Review vol.48, 4 (2004), p. 747-784

: CEZ:AV0Z1075907

: FX microstructure, exchange rate, uncovered parity

(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.

(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

: 05D, 05Y

: AH

2019-01-07 08:39