Cookies?
Library Header Image
LSE Research Online LSE Library Services

Analysis of spreads in the dollar/euro and Deutsche Mark/dollar foreign exchange markets

Goodhart, Charles, Love, Ryan, Payne, Richard and Rime, Dagfinn (2002) Analysis of spreads in the dollar/euro and Deutsche Mark/dollar foreign exchange markets. Financial Markets Group Discussion Papers (467). Financial Markets Group, The London School of Economics and Political Science, London, UK.

[img]
Preview
PDF
Download (187kB) | Preview

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)
Official URL: http://fmg.ac.uk
Additional Information: © 2002 The Authors
Divisions: Financial Markets Group
Subjects: H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
JEL classification: F - International Economics > F3 - International Finance > F31 - Foreign Exchange
Date Deposited: 20 Aug 2009 16:43
Last Modified: 13 Sep 2024 19:47
URI: http://eprints.lse.ac.uk/id/eprint/24958

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics