| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2497 |
| DP2497 Inequality and Mobility | |
| Joseph Zeira; John Hassler; Jose V. Rodríguez Mora | |
| 发表日期 | 2000-07-25 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | This paper presents evidence that the bid-ask spreads in euro rates increased relative to the corresponding bid-ask spreads in the German mark (DM) prior to the currency union. This comes with a decrease in transaction volume in the euro rates relative to the previous DM rates. The starkest example is the DM(euro)/yen rate in which the spread has risen by almost two-thirds while the volume has almost halved. We propose a microstructure theory for a system of multiple exchange rates in which spreads are endogenously determined. It is argued that the elimination of cross rates due to the introduction of the euro reduced the intra-temporal risk sharing capacity of the multicurrency dealership market. A second explanation for the increase in the euro bid-ask spreads and the relative euro volume loss is based on an increase in the information content of order flow in euro rates relative to previous DM rates. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Transaction costs Spreads Vehicle currency Microstructure |
| URL | https://cepr.org/publications/dp2497 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531573 |
| 推荐引用方式 GB/T 7714 | Joseph Zeira,John Hassler,Jose V. Rodríguez Mora. DP2497 Inequality and Mobility. 2000. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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