Onur, Esen (2011): How much you know matters: A note on the exchange rate disconnect puzzle.
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This paper offers a dynamic model of the foreign exchange market where some investors in the market are more informed than others. By adjusting the proportion of informed investors in the market, it is shown that the disconnect between macroeconomic variables and the exchange rate is sensitive to the amount of asymmetric information in the market. A surprising fi�nding is that this disconnect is bigger when the proportion of informed investors in the market is smaller.
|Item Type:||MPRA Paper|
|Original Title:||How much you know matters: A note on the exchange rate disconnect puzzle|
|Keywords:||Market microstructure; Foreign exchange market; Asymmetric information|
|Subjects:||D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D82 - Asymmetric and Private Information; Mechanism Design
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Esen Onur|
|Date Deposited:||13. Aug 2011 02:28|
|Last Modified:||16. Feb 2013 08:21|
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