An information approach to international currencies

• 成果类型: Article
• 署名作者: Lyons, Richard K.; Moore, Michael J.
• 署名单位: Queens University Belfast; University of California System; University of California Berkeley; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.08.003
• 发表日期: 2009
• 页码: 211-221
• 关键词: foreign exchange; Vehicle currency; INFORMATION; microstructure

摘要

Models of currency competition focus on the 5% of trading attributable to balance-of-payments flows. We introduce an information approach that focuses on the other 95%. Important departures from traditional models arise when transactions convey information. First, prices reveal different information depending on whether trades are direct or though vehicle currencies. Second, missing markets arise due to insufficiently symmetric information, rather than insufficient transactions scale. Third, the indeterminacy of equilibrium that arises in traditional models is resolved: currency trade patterns no longer concentrate arbitrarily on market size. Empirically, we provide a first analysis of transactions across a full market triangle: the euro, yen and US dollar. The estimated transaction effects on prices support the information approach. (C) 2009 Elsevier B.V. All rights reserved.