The Microstructure of Foreign Exchange Markets

Frankel, Jeffrey A.; Galli, Giampaolo; Giovannini, Alberto

doi:10.7208/chicago/9780226260235.001.0001

Cited by 81 publications

(25 citation statements)

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“…We conclude that in the presence of heterogenous participants liquidity is positively related to excess volatility. Also Frankel/Froot (1990a) suggest that the dispersion leads to volume of trading, and that market vol- Frankel et al (1996).…”

Section: Misguidancementioning

confidence: 99%

Might a Securities Transactions Tax Mitigate Excess Volatility? Some Evidence from the Literature

Haberer

2004

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractInternational financial markets are said to be excessively volatile due to destabilizing speculation and excessive market volume. Transactions taxes might help. From studying the literature we conclude that there must be an optimal market liquidity, which minimizes excess volatility. There are two effects when imposing a transactions tax.Both reduce excess volatility in highly speculative markets when tax rates are small. The total tax effect then is unambiguous. However, in illiquid markets the tax might raise volatility.

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Section: Misguidancementioning

confidence: 99%

Might a Securities Transactions Tax Mitigate Excess Volatility? Some Evidence from the Literature

Haberer

2004

SSRN Journal

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“…Indeed, a recent popular view among researchers, notably Frankel et al (1996), Lyons (2001) and Evans and Lyons (2002), is that the traditional asset market approach fails to recognise the role that the structure of the foreign exchange market, with its trading protocols and organisation, plays in the determination of exchange rates.…”

Section: Introductionmentioning

confidence: 99%

Foreign exchange intervention: how to signal policy objectives and stabilise the economy

Vitale

2003

Journal of Monetary Economics

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“…One motivation for such work has been to understand the mechanisms generating deviations from fundamentals. A survey on that is provided by Flood [45], and another useful reference is Frankel, Galli, and Giovannini [46].…”

Section: Open Economy Macroeconomicsmentioning

confidence: 99%

International finance, Lévy distributions, and the econophysics of exchange rates

Silva

Matsushita

Gleria

et al. 2005

Communications in Nonlinear Science and Numerical Simulation

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The Microstructure of Foreign Exchange Markets

Cited by 81 publications

References 0 publications

Might a Securities Transactions Tax Mitigate Excess Volatility? Some Evidence from the Literature

Might a Securities Transactions Tax Mitigate Excess Volatility? Some Evidence from the Literature

Foreign exchange intervention: how to signal policy objectives and stabilise the economy

International finance, Lévy distributions, and the econophysics of exchange rates

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