A GUIDED TOUR OF THE MARKET MICROSTRUCTURE APPROACH TO EXCHANGE RATE DETERMINATION

• DOI: 10.1111/j.1467-6419.2007.00524.x
• Publication Date: 2007-08-16T19:25:14Z
• Authors: Paolo Vitale
• Keywords: jel:G14; jel:G15; jel:D82; 0502 economics and business; 05 social sciences; exchange rate dynamics; foreign exchange microstructure; order flow

Abstract We propose a critical review of recent developments in exchange rate economics which have offered novel approach to determination. This new strand research, the market microstructure rates, is motivated by some very stark empirical evidence, relating dynamics imbalance sequence purchases and sales foreign currencies markets for exchange. Through our we outline results this research has achieved alongside its open questions future challenges.