English, Article, Journal or magazine article edition: Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets Richard Payne; Charles Goodhart; Dagfinn Rime

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Bookmark: http://trove.nla.gov.au/version/45108
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Analysis of spreads in the Dollar/​Euro and Deutsche Mark/​Dollar foreign exchange markets
Author
  • Richard Payne
  • Charles Goodhart
  • Dagfinn Rime
Physical Description
  • preprint
Notes
  • 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).
  • RePEc:fmg:fmgdps:dp467
Language
  • English
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