In this article, demand equations for import of consumer, intermediate and capital goods for the period 1971(2) to 1999(1), is estimated and analyzed, using the ARDL Pesaran & Shin method. The results show that the behavior of the different categories of imported goods in Iran is best explained by the parallel market exchange rate, implying this rate is a closer approximation fir the opportunit...

With dollar amounts in this lofty range, participants in the foreign exchange market could incur substantial losses if the other parties to their transactions ~s’ere to default on the payments required to settle their side of the transactions. To reduce the costs of transactions and limit the size of these possible losses, some banks engage in bilateral netting of their foreign exchange transac...

a r t i c l e i n f o In this paper, I investigate the determinants of price differences in the shares of cross-listed firms in domestic and foreign markets. Diverging from the literature in this field, I introduce a methodology that is independent of any specific form of utility function. My theoretical analysis indicates that investment opportunities and consumption growth cause price dispari...

Making a Market in Foreign Exchange John A Carlson Purdue University Abstract In a foreign exchange market there may be no informed traders who have superior information about the market as a whole. Even so, a risk-neutral market maker is confronted with a form of adverse selection costs. A stylized model allows an analytical separation of adverse selection from inventory management costs. A th...

As the result of empirical investigations into the foreign exchange market a group structure of characteristic periodic decisions of market participants is found. In order to explain this finding at the microscopic level the agent-based model of a financial market in which N market participants trade M financial commodities is considered. If different sources of periodic information exist then ...

We examine empirically the conjecture that limits to speculation in the foreign exchange market may induce nonlinearities in the spot-forward relationship and in the process driving the deviations from the uncovered interest rate parity (UIP) condition. Our empirical results provide strong evidence of important nonlinearities which are consistent with a model of deviations from UIP with two ext...

This paper develops a model to value defaultable bonds in emerging markets. Default occurs when some signaling process hits a pre-defined default barrier. The signaling variable is considered to be some macro-economic variables such as foreign exchange rates. The dynamics of the default barrier depend on the volatility and the drift of the signaling variable. We derive a closedform solution of ...