Microstructure Approach to Exchangee Rates Lyons

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1、THEMICROSTRUCTUREAPPROACHTOEXCHANGERATESRICHARDK.LYONSTheMicrostructureApproachtoExchangeRatesThisPageIntentionallyLeftBlankTheMicrostructureApproachtoExchangeRatesRichardK.LyonsTheMITPressCambridge,MassachusettsLondon,England(2001MassachusettsInstituteofTechnologyAllrightsreserved.Nopartoft

2、hisbookmaybereproducedinanyformbyanyelectronicormechanicalmeans(includingphotocopying,recording,orinformationstorageandretrieval)withoutpermissioninwritingfromthepublisher.ThisbookwassetinPalatinoin3B2byAscoTypesetters,HongKong,andwasprintedandboundintheUnitedStatesofAmerica.LibraryofCongres

3、sCataloging-in-PublicationDataLyons,RichardK.Themicrostructureapproachtoexchangerates/RichardK.Lyons.p.cm.Includesbibliographicalreferencesandindex.ISBN0-262-12243-X(hc.)1.ForeignexchangeratesÐMathematicalmodels.I.Title.HG3823.L962001332.4050015118Ðdc212001044337Idedicatethisbooktomywonderfu

4、lwife,Jen.ThisPageIntentionallyLeftBlankContentsPrefaceix1OverviewoftheMicrostructureApproach12TheEconomicsofOrderFlowInformation193TheInstitutionalSetting374TheoreticalFrameworks635EmpiricalFrameworks1136ExchangeRateModels:MacrotoMicrofoundations1517MacroPuzzles:TheChallengeforMicrostructur

5、e1718MicrostructureandCentralBankIntervention2219Customers:UnderlyingDemandintheEconomy24310LookingForward263Notes279References305Index325ThisPageIntentionallyLeftBlankPrefaceThisbookaddressesagrowinginteractionbetweentwo®eldsÐexchangerateeconomicsandmicrostructure®nance.Historically,these®e

6、ldshaveprogressedindependently.Morerecently,however,theyhavebeguntointeract,andthatinteractionhasstimulatednewperspectivewithinboth.Inexchangerateeconomics,thatnewperspectivehasgivenrisetoadistinctapproachÐamicrostructureapproach.Anaturalaudienceforthisbookincludespeoplewithexpertiseinonlyon

7、eofthesetwo®eldswhoareinterestedinlearningmoreabouttheother.InthepastthishasnotbeeneasyÐtheseareashavedifferentintellectualtraditions,sobridgingthemrequiredalargeinvestmentoftime.Thisbookshouldfacilitatethatinvestment.Tothatend,Ihavetriedtopresentm