Blar i Norges Banks vitenarkiv på forfatter "Rime, Dagfinn"

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    • A Transaction Data Study of the Forward Bias Puzzle 

      Breedon, Francis; Rime, Dagfinn; Vitale, Paolo (Working Papers;26/2010, Working paper, 2010)
      Using ten years of FX transactions data we demonstrate that a large share of the FX forward discount bias can be accounted for by order flow. A simple microstructure-based decomposition suggests that order flow creates a ...

    • Arbitrage in the Foreign Exchange Market: Turning on the Microscope 

      Akram, Q. Farooq; Rime, Dagfinn; Sarno, Lucio (Working Papers;12/2005, Working paper, 2005)
      This paper provides real-time evidence on the frequency, size and duration of arbitrage opportunities and deviations from the law of one price (LOP) in the foreign exchange market. We investigate deviations from the covered ...

    • Asymmetric Information in the Interbank Foreign Exchange Market 

      Bjønnes, Geir Høidal; Osler, Carol; Rime, Dagfinn (Working Papers;25/2008, Working paper, 2008)
      This paper provides evidence of private information in the interdealer foreign exchange market. In so doing it provides support for the hypothesis that information is an important reason for the strong positive correlation ...

    • Dealer Behavior and Trading Systems in Foreign Exchange Markets 

      Bjønnes, Geir Høidal; Rime, Dagfinn (Working Papers;10/2003, Working paper, 2003)
      We study dealer behavior in the foreign exchange spot market using a detailed data set on the complete transactions of four dealers. There is strong support for an information effect in incoming trades. Although there is ...

    • Does Publication of Interest Rate Paths Provide Guidance? 

      Rime, Dagfinn; Syrstad, Olav; Natvik, Gisle J. (Working Paper;16/2019, Working paper, 2019)
      Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequent data on Forward Rate Agreements (FRAs) we ...

    • Does the Law of One Price Hold in International Financial Markets? Evidence from Tick Data 

      Akram, Q. Farooq; Rime, Dagfinn; Sarno, Lucio (Working Papers;19/2008, Working paper, 2008)
      This paper investigates the validity of the law of one price (LOP) in international financial markets by examining the frequency, size and duration of inter-market price differentials for borrowing and lending services ...

    • Exchange Rate Forecasting, Order Flow and Macroeconomic Information 

      Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira (Working Papers;2/2007, Working paper, 2007)
      This paper investigates the empirical relation between order flow and macroeconomic information in the foreign exchange market, and the ability of microstructure models based on order flow to outperform a naive random walk ...

    • Exchange Rates, Interest Rates and the Global Carry Trade 

      Evans, Martin D. D.; Rime, Dagfinn (Working Papers;14/2017, Working paper, 2017)
      We empirically examine how the global carry trade affects the dynamics of spot exchange rates and interest rates across 13 countries from 2000, through the world financial crisis, until the end of 2011. Our model identifies ...

    • Explaining Movements in the Norwegian Exchange Rate 

      Akram, Q. Farooq; Brunvatne, Kari-Mette; Eitrheim, Øyvind; Gulbrandsen, Kristin; Kloster, Arne; Lokshall, Raymond; Naug, Bjørn E.; Rime, Dagfinn; Røisland, Øistein; Sveen, Tommy; Torvik, Ragnar (Occasional Papers;32, Book, 2003)

    • Foreign Exchange Market Structure, Players and Evolution 

      King, Michael R.; Osler, Carol; Rime, Dagfinn (Working Papers;10/2011, Working paper, 2011)
      Electronic trading has transformed foreign exchange markets over the past decade, and the pace of innovation only accelerates. This formerly opaque market is now fairly transparent and transaction costs are only a fraction ...

    • Hvilke faktorer kan forklare utviklingen i valutakursen? 

      Akram, Q. Farooq; Brunvatne, Kari-Mette; Eitrheim, Øyvind; Gulbrandsen, Kristin; Kloster, Arne; Lokshall, Raymond; Naug, Bjørn E.; Rime, Dagfinn; Røisland, Øistein; Sveen, Tommy; Torvik, Ragnar (Norges Banks Skriftserie;31, Book, 2003)

    • Large’ vs. ‘Small’ Players: A Closer Look at the Dynamics of Speculative Attacks 

      Bjønnes, Geir Høidal; Holden, Steinar; Rime, Dagfinn; Solheim, Haakon (Working Papers;13/2005, Working paper, 2005)
      What is the role of “large players” like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information ...

    • Liquidity Provision in the Overnight Foreign Exchange Market 

      Bjønnes, Geir Høidal; Rime, Dagfinn; Solheim, Haakon (Working Papers;13/2004, Working paper, 2004)
      We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange market using a unique daily data set covering almost all transactions in the SEK/EUR market over almost ...

    • Micro Approaches to Foreign Exchange Determination 

      Evans, Martin D. D.; Rime, Dagfinn (Working Papers;5/2011, Working paper, 2011)
      Micro-based exchange-rate research examines the determination and behavior of spot exchange rates in an environment that replicates the key features of trading in the foreign exchange (FX) market. Traditional macro ...

    • Microstructure of Foreign Exchange Markets 

      Evans, Martin D.D.; Rime, Dagfinn (Working Paper;6/2019, Working paper, 2019)
      This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then ...

    • Norges Bank’s Endogenous Interest Rate Path and Its Impact on Interest Rate Expectations 

      Syrstad, Olav; Rime, Dagfinn (Staff Memo;6/2014, Working paper, 2014)
      Norges Bank has published its own forecasts for the key policy rate since 2005. The Reserve Bank of New Zealand introduced this practice as early as in 1997. Later, in 2007, the Swedish Riksbank also started to publish its ...

    • Order Flow Analysis of Exchange Rates 

      Rime, Dagfinn; Sojli, Elvira (Journal article, 2006)
      Norges Bank recently started to collect new foreign exchange statistics. These statistics provide an overview of which foreign currencies various market participants buy and sell against NOK. Participants’ purchases and ...

    • Ordrestrømsanalyse av valutakurser 

      Rime, Dagfinn; Sojli, Elvira (Journal article, 2006)
      Artikkelen forklarer teorien som ligger til grunn for å bruke data fra verdipapirhandel i empiriske anvendelser. Det fokuseres på problemstillinger knyttet til valutamarkedet, men teorien har gyldighet også for andre ...

    • Segmented Money Markets and Covered Interest Parity Arbitrage 

      Rime, Dagfinn; Schrimpf, Andreas; Syrstad, Olav (Working Papers;15/2017, Working paper, 2017)
      This paper studies the violation of the most basic no-arbitrage condition in international finance — Covered Interest Parity (CIP). We find that the CIP puzzle largely stems from funding liquidity differences, reflected ...

    • The Flows of the Pacific: Asian Foreign Exchange Markets Through Tranquility and Turbulence 

      Rime, Dagfinn; Tranvåg, Hans Jørgen (Working Papers;1/2012, Working paper, 2012)
      Using the longest data set on FX order flow to date, along with the broadest coverage of currencies to date, we examine the effect of FX order flow on exchange rates across small and large currencies, currencies with ...