Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads
收藏NBER1994-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w4737
下载链接
链接失效反馈官方服务：
资源简介：
The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an option
提供机构：
美国国家经济研究局
创建时间：
1994-05-01
