- Allen, P., and P. Kenen, 1980, Asset Markets, Exchange Rates, and Economic Integration (Cambridge University Press: New York).
Paper not yet in RePEc: Add citation now
Amihud, Y., and H. Mendelson, 1980, Dealership markets: Marketmaking with inventory, Journal of Financial Economics, 8: 31-53.
- Andersen, T., and T. Bollerslev, 1998, Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies, Journal of Finance, 53: 219-266.
Paper not yet in RePEc: Add citation now
Backus, D., 1984, Empirical models of the exchange rate: Separating the wheat from the chaff, Canadian Journal of Economics, 17: 826-846.
Bagwell, L., 1992, Dutch auction repurchases: An analysis of shareholder heterogeneity, Journal of Finance, 47: 71-105.
- Bierens, H., 1983, Uniform consistency of kernel estimators of a regression function under general conditions, Journal of the American Statistical Association, 77 699-707.
Paper not yet in RePEc: Add citation now
- Bjonnes, G., and D. Rime, 2000, FX trading ... live: Impact of new trading environments, typescript, Norwegian School of Management, December.
Paper not yet in RePEc: Add citation now
Bossaerts, P. and Hillion, P. 1991, Market microstructure effects of government intervention in the foreign exchange market, Review of Financial Studies 4, 513-541.
- Branson, W., 1977, Asset markets and relative prices in exchange rate determination, Sozialwissenschaftliche Annalen, 1: 69-89.
Paper not yet in RePEc: Add citation now
Branson, W., and D. Henderson, 1985, The specification and influence of asset markets, in R. Jones and P. Kenen (eds.), Handbook of International Economics, Volume 2, North-Holland: Amsterdam.
Branson, W., H. Halttunen, and P. Masson, 1977, Exchange rates in the short run: The Deutschemark rate, European Economic Review, 10: 303-324.
- Cavallo, M., F. Perri, N. Roubini, and K. Kisselev, 2002, Exchange rate overshooting and the costs of floating, typescript, New York University, March.
Paper not yet in RePEc: Add citation now
- Chaboud, A., and B. LeBaron, 1999, Foreign exchange market trading volume and Federal Reserve intervention, typescript, Brandeis University, July, forthcoming in the Journal of Banking and Finance.
Paper not yet in RePEc: Add citation now
Dominguez, K., 1990, Market responses to coordinated central bank intervention, Carnegie-Rochester Series on Public Policy, 32: 121-163.
Dominguez, K., 1998, Central bank intervention and exchange rate volatility, Journal of International Money and Finance, 18:161-190.
Dominguez, K., 1999, The market microstructure of central bank intervention, University of Michigan typescript, August.
Dominguez, K., and J. Frankel, 1993a, Does foreign-exchange intervention matter? The portfolio effect, American Economic Review, 83: 1356-1369.
- Dominguez, K., and J. Frankel, 1993b, Does foreign-exchange intervention work? Institute for International Economics, Washington, D.C.
Paper not yet in RePEc: Add citation now
Dooley, M., and P. Isard, 1982, A portfolio balance rational expectations model of the dollar-mark exchange rate, Journal of International Economics, 12: 257276.
- Edison, H., 1998, On foreign exchange intervention: An assessment of the U.S.
Paper not yet in RePEc: Add citation now
Evans, M., 2001, FX trading and exchange rate dynamics, NBER Working Paper 8116, February, Journal of Finance, forthcoming.
Evans, M., and R. Lyons, 2002, Order flow and exchange rate dynamics, Journal of Political Economy, 110: 170-180.
- February. Escribano and Jorda, 1999, Improved Testing and Specification of Smooth Transition Regression Models, in Nonlinear Time Series Analysis of Economic and Financial Data, Rothman (Ed.) Kluwer Academic Press.
Paper not yet in RePEc: Add citation now
- Frankel, J., 1982b, A test of perfect substitutability in the foreign exchange market, Southern Economic Journal, 49: 406-416.
Paper not yet in RePEc: Add citation now
- Girton, L., and D. Henderson, 1977, Central bank operations in foreign and domestic assets under fixed and flexible exchange rates, in P. Clark, D.
Paper not yet in RePEc: Add citation now
Golub, S., 1989, Foreign currency government debt, asset markets, and the balance of payments, Journal of International Money and Finance, 8: 285294.
Granger C.W.J., and T. Terasvirta, 1993, Modelling Nonlinear Relationships. New York: Oxford University Press.
Grossman. S., and J. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review, 70: 393-408.
Hansch, O., N. Naik, and S. Viswanathan 1998. “Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange,†Journal of Finance, 53: 1623-1656.
- Hardle W., 1990 Applied Nonparametric Regression, Econometric Society Monograph, Cambridge University Press.
Paper not yet in RePEc: Add citation now
Hasbrouck, J., 1991, Measuring the information content of stock trades, Journal of Finance, 46: 179-207.
Ho, T., and H. Stoll, 1983, The dynamics of dealer markets under competition, Journal of Finance 38, 1053-1074.
Hung, J., 1997, Intervention strategies and exchange rate volatility: A noise trading perspective, Journal of International Money and Finance, 16: 779793.
Jones, C., G. Kaul, and M. Lipson, 1994, Transactions, volume, and volatility, Review of Financial Studies, 7: 631-651.
Kaul, A., V. Mehrotra, and R. Morck, 2000, Demand curves for stock do slope down: New evidence from an index weights adjustment, Journal of Finance, 55: 893-912.
Kodres, L., and M. Pritsker, 1998, A rational expectations model of financial contagion, working paper, International Monetary Fund.
Kouri, P., 1976, The exchange rate and the balance of payments in the short run and in the long run: A monetary approach, Scandinavian Journal of Economics, 78: 280-304.
Kyle, A ., and W. Xiong, 2001, Contagion as a wealth effect, typescript, Duke University.
Kyle, A., 1985, Continuous auctions and insider trading, Econometrica 53, 13151335.
Lewis, K., 1988, Testing the portfolio balance model: A multilateral approach, Journal of International Economics, 7: 273-288.
Lewis, K., 1995, Puzzles in international financial markets, in G. Grossman and K.
- Luukkonen, R.,P. Saikkonen and T. Terasvirta, 1988, Testing linearity against smooth transition autoregressive models, Biometrika, 75 491-499.
Paper not yet in RePEc: Add citation now
Lyons, R. 1997, A simultaneous trade model of the foreign exchange hot potato, Journal of International Economics 42, 275 − 298.
Lyons, R., 1995, Tests of microstructural hypotheses in the foreign exchange market, Journal of Financial Economics 39, 321-351.
- Lyons, R., 2001, The Microstructure Approach to Exchange Rates, MIT Press (chapters at www.haas.berkeley.edu/~lyons/NewBook.html), published December.
Paper not yet in RePEc: Add citation now
Martin, P., and H. Rey, 2002, Financial globalization and emerging markets: With or without crash? Typescript, Princeton University, March.
Naranjo, A., and M. Nimalendran, 2000, Government intervention and adverse selection costs in foreign exchange markets, Review of Financial Studies, 13, 453-477.
- Payne, R. 1999, Informed trade in spot foreign exchange markets: An empirical investigation, typescript, London School of Economics, January.
Paper not yet in RePEc: Add citation now
Peiers, B. 1997. Informed traders, intervention, and price leadership: A deeper view of the microstructure of the foreign exchange market. Journal of Finance 52, 1589-1614.
Reiss, P., and I. Werner, 1998, Does risk sharing motivate interdealer trading? Journal of Finance, 53: 1657-1704.
Rime, D., 2000, Private or public information in foreign exchange markets? Typescript, Department of Economics, University of Oslo, March.
Robinson, P., 1983. Nonparametric Estimators for Time Series, Journal of Time Series Analysis, 4, 185-207.
Rogoff (eds.), Handbook of International Economics, vol. 3, North Holland: Amsterdam. Loopesko, B., 1984, Relationships among exchange rates, intervention, and interest rates: An empirical investigation, Journal of International Money and Finance, 3: 257-277.
Rogoff, K., 1984, On the effects of sterilized intervention: An analysis of weekly data, Journal of Monetary Economics, 14: 133-150.
Scholes, M., 1972, The market for securities: Substitution versus price pressure and the effect of information on share price, Journal of Business, 45: 179211.
Shleifer, A., 1986, Do demand curves for stocks slope down? Journal of Finance, 41: 579-590.
Sinn, H., and F. Westermann, 2001, Why has the euro been falling? An investigation into the determinants of the exchange rate, NBER Working Paper 8352, July.
- Terasvirta, T., 1994, Specification, estimation and evaluation of smooth transition autoregressive models, Journal of the American Statistical Association, 89, 208-218.
Paper not yet in RePEc: Add citation now
Vitale, P., 1999, Sterilized central bank intervention in the foreign exchange market, Journal of International Economics, 49: 245-267.
Vogler, K., 1997, Risk allocation and interdealer trading, European Economic Review 41, 417-441.