Front Matter Page
International Capital Markets Department
Authorized for distribution by Donald J. Mathieson
Contents
I. Introduction
II. Reconsidering the Lyons (1995) Result
III. A Puzzle of Microstructure Market Maker Models
IV. Conclusion
References
Figures
1. Partitions in the Exchange Rate Literature
2. Rolling Estimates of Break Tests and DL Pricing Equation
3. Price, Daily Cumulative Components of Inventory, and Breaks
4. Kernel Density Plots for QQit and Qjt
5. Impulse Responses for QQit and Qjt
Tables
1. Reproduction of Lyons (1995) Original Estimates
2. Sup-F Tests for Location and Number of Structural Breaks
3. Break Test for Fed Intervention
4. Estimates DL Pricing Model in Subsamples with no Breaks
5. First Five Entries of Lyons (1995) Dataset
6. Descriptive Statistics for QQit and Qjt
7. VAR Lag Order Selection Criteria
8. Vector Autoregression Estimates