16: Foreign Exchange

Lecture PDF

Lec 16-1: FT: High frequency trading

FT article link

Lec 16-2: Uncovered interest parity (UIP) and the expectations hypothesis of the term structure (EH)

Lec 16-3: FX dealers under the gold standard, redux

Lec 16-4: Private FX dealing system

Mehrling, “Essential Hybridity”

Lec 16-5: Economics of the dealer function, speculative dealer

Lec 16-6: Economics of the dealer function, matched-book dealer

Lec 16-7: Digression: Why do UIP and EH fail?

BIS paper on breakdown of CIP

Lec 16-8: Central bank as FX dealer of last resort

Lec 16-9: Reading: McCauley on internationalization of renminbi