How to order
IMF Publications

Working Papers in full text
2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 All

Other research-related activities and publications of the IMF can be found at IMF Research

Free Email Notification

Receive emails when we post new items of interest to you.

Subscribe or Modify your profile

Were Bid-Ask Spreads in the FX Market Excessive During the Asian Crisis?

Author/Editor: Becker, Törbjörn I. | Sy, Amadou N. R.
Authorized for Distribution: February 1, 2005
Electronic Access: Free Full Text (PDF file size is 179KB)
Use the free Adobe Acrobat Reader to view this PDF file.
 
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: Bid-ask spreads for Asian emerging market currencies increased sharply during the Asian crisis. A key question is whether such wide spreads were excessive or explained by models of bid-ask spreads. Precrisis estimates of standard models show that spreads during the crisis were in most cases tighter than spreads predicted by the models and there are few cases of excessive spreads. The result is largely explained by the substantial increase in exchange rate volatility during the crisis and to some extent by the level change. The empirical models have greater explanatory power for emerging- than for mature-market currencies.
 
Series: Working Paper No. 05/34
Subject(s): Exchange markets | Asia | Financial crisis | Emerging markets | Currencies
Author's keyword(s): Foreign exchange | market microstructure | bid-ask spreads | Asian crisis
 
English  
    Published:   February 1, 2005        
    ISBN/ISSN:   1934-7073   Format:   Paper
    Stock No:   WPIEA2005034   Pages:   31
    Price:   US$15.00
       
     
Please address any questions about this title to publications@imf.org.