• Carry trades, order flow, and the forward bias puzzle 

      Breedon, Francis; Rime, Dagfinn; Vitale, Paolo (Journal article; Peer reviewed, 2016)
      We investigate the relation between foreign exchange (FX) order ow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate di erentials and ...
    • 'Large' versus 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks 

      Bjønnes, Geir Høidal; Holden, Steinar; Rime, Dagfinn; Solheim, Haakon O. Aa (Journal article; Peer reviewed, 2014)
      What is the role of “large players” (e.g., hedge funds) in speculative attacks? Recent work suggests that large players move early to induce smaller agents to attack. However, many observers argue that large players move ...
    • Order flow information and spot rate dynamics 

      Evans, Martin D. D.; Rime, Dagfinn (Journal article; Peer reviewed, 2016)
      This paper examines why order flows are empirically important drivers of spot exchange rate dynamics. We consider a decomposition for the depreciation rate that must hold in any model and show that order flows will appear ...
    • The impact of different players on the volume-volatility relation in the foreign exchange market 

      Bjønnes, Geir Høidal; Rime, Dagfinn; Solheim, Haakon (Journal article; Peer reviewed, 2019)
      We examine the volume-volatility relation in the foreign exchange (FX) market using a unique data set from the Swedish krona (SEK) market that contains observations of 90–95 percent of all transactions from 1995 until 2002. ...
    • The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market 

      Cheung, Yin-Wong; Rime, Dagfinn (Journal article; Peer reviewed, 2014)
      The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized ...
    • The scapegoat theory of exchange rates: the first tests 

      Fratzscher, Marcel; Rime, Dagfinn; Sarno, Lucio; Zinna, Gabriele (Journal article; Peer reviewed, 2015)
      The scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2013) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as \scapegoats" to rationalize ...
    • Trading in Foreign Exchange Markets. Four Essays on the Microstructure of Foreign Exchange 

      Rime, Dagfinn (Series of Dissertations;2/2001, Doctoral thesis, 2001)
      This dissertation is a collection of four essays on the trading activities in the foreign exchange market. Trading has traditionally not been an issue in research on the foreign exchange market. This has changed during the ...