Liquidity in Forex Markets

book 4
Liquidity in Forex Markets

The forward foreign exchange market is modelled within the framework of a limited participation two-country model and then simulated using the artificial economy methodology.The new model improves on the standard two-country cash-in-advance model in a number of ways. It gets closer to the observed lack of autocorrelation in spot returns and it helps to explain the persistence in the forward discount. However, it cannot account for the relative volatilities of spot returns and the forward discount. Finally, the model goes some distance in explaining the forward discount bias puzzle but falls short of resolving it.q2001 Elsevier Science B.V. All rights reserved.



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