Goodhart, Charles, Love, Ryan, Payne, Richard and Rime, Dagfinn (2002) Analysis of spreads in the dollar/euro and Deutsche Mark/dollar foreign exchange markets. Discussion paper, 467. Financial Markets Group, London School of Economics and Political Science, London, UK.
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Abstract
This paper tries to provide a simple explanation for the empirical finding, documented here and also by Hau, Killeen and Moore (2002), that spreads in the spot USD/EUR market are substantially higher than those in the preceding DEM/USD foreign exchange market. The paper argues that it is primarily the re-factoring of the exchange rate, 1.75 DEM per USD compared to 1 USD per EUR together with the fact that dealers are faced with a minimum tick size, that has caused spreads to increase (as a percentage of mid-quote).
| Item Type: | Monograph (Discussion Paper) |
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| Official URL: | http://fmg.lse.ac.uk |
| Additional Information: | © 2002 The Authors |
| Library of Congress subject classification: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| Sets: | Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online Collections > LSE Financial Markets Group (FMG) Working Papers |
| Identification Number: | 467 |
| Date Deposited: | 20 Aug 2009 16:43 |
| URL: | http://eprints.lse.ac.uk/24958/ |
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