ABSTRACT We present a theoretical model that identifies the optimal resource allocation between surveillance and intervention for eradicating exotic livestock diseases. apply game theory approach to analyse strategic interaction Animal Health Authority (AHA) stockbreeders. The elucidates how breeders' pay‐offs depend upon AHA's choices vice versa. first stockbreeder reporting decision (passive surveillance) under uncertainty. Then, we AHA should efficiently allocate resources active...

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.

We investigate the relation between foreign exchange (FX) order flow and forward bias. outline a decomposition of bias according to which negative correlation interest rate differentials creates time‐varying risk premium consistent with that Using 10 years data on FX flow, we find more than half is accounted for by flow—with rest being explained expectational errors. also carry trading increases currency‐crash in generates skewness returns.

We propose a simple structural model of exchange rate determination which draws from the analytical framework recently proposed by Bacchetta and van Wincoop (2003) allows us to disentangle liquidity information effects order flow on rates. estimate this employing an innovative transaction data-set that covers all direct foreign transactions completed in USD/EUR market via EBS Reuters between August 2000 January 2001. Our results indicate strong contemporaneous correlation rates is mostly due...

Abstract We discuss some fundamental aspects of the study foreign exchange intervention. In particular, we analyse unresolved issues, such as secrecy puzzle, relevance signalling and portfolio‐balance effect hypotheses, identification impact intervention on currency values. argue that: (i) nature these issues is partly due to absence a market microstructure perspective in most existing analysis intervention; (ii) that recent promising advances this strand research have not fully exploited...

The solution of nonlinear regression problems often requires the use iterative algorithms in order to obtain best possible set parameters. It has become apparent that inclusion a one-dimensional search procedure between iterations is generally beneficial for improving both convergence and rates convergence. There are number different procedures currently this report investigates five them by using modified Gauss-Newton algorithm with without second partial derivatives. Four measures...

We formulate a market microstructure model of exchange determination we employ to investigate the impact foreign (FX) intervention on rates and FX conditions. With our formulation show: (i) how influences via both portfolio-balance signalling channel; (ii) derive series testable implications which are coherent with large body empirical research. Our investigation also proposes some normative recommendations, as that in extreme circumstances large-scale can have destabilizing effects for...

We investigate the relation between foreign exchange (FX) order flow and forward bias. outline a decomposition of bias according to which negative correlation interest rate differentials creates time-varying risk premium consistent with that Using ten years data on FX we find more than half is accounted for by --- rest being explained expectational errors. also carry trading increases currency-crash in generates skewness returns.

We propose a general framework for the analysis of dynamic optimization with risk-averse agents, extending Whittle's (Whittle, 1990) formulation risk-sensitive optimal control problems to accommodate time-discounting. show how, within Markovian set-up, behavior is identified via pessimistic choice mechanism and described by simple recursive formulae. apply this methodology two distinct formulated respectively in discrete- continuous-time. In former, we extend Svensson's (Svensson, 1997)...

We formulate a market microstructure model of exchange determination we employ to investigate the impact foreign intervention on rates and (FX) conditions. With our formulation show i) how influences via both portfolio-balance signalling channel ii) derive series testable implications which are coherent with large body empirical research. Our investigation also proposes some normative recommendations, as that in extreme circumstances scale can have destabilizing effects for functioning FX...

Abstract We formulate a market microstructure model of exchange determination that we employ to investigate the impact informed trading on rates and foreign (FX) conditions. With our formulation, show how strategic agents influence via both portfolio-balance information effects. outline connection which exists between private value information, efficiency, liquidity rate volatility. Our is also consistent with recent empirical research micro-structure FX markets. Keywords: informationorder...