| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6763 |
| DP6763 Contractual Democracy | |
| Hans Gersbach | |
| 发表日期 | 2008-03-31 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | Does global currency volume increase on days when the Federal Open Market Committee (FOMC) meets? To test the hypothesis of excess currency volume on FOMC days, we use a novel data set from the Continuous Linked Settlement (CLS) Bank. The CLS measure captures roughly half of the global trading volume in foreign exchange (FX) markets. We find strong evidence that trading volume increases in the order of 5% across currency areas on FOMC days during 2003 to 2007. This result holds irrespective of the size of price changes in currency markets and FOMC policy shocks. The new evidence of excess FX trading on FOMC days is inconsistent with standard models of the asset market approach with homogenous agents. |
| 主题 | International Macroeconomics |
| 关键词 | Fomc Global linkages Trading volume |
| URL | https://cepr.org/publications/dp6763 |
| 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/535601 |
| 推荐引用方式 GB/T 7714 | Hans Gersbach. DP6763 Contractual Democracy. 2008. |
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