Lyons Richard K. The Microstructure Approach to Exchange Rates

MIT Press, 2001. — 346 p.This book addresses a growing interaction between two fields - exchange rate economics and microstructure finance. Historically, these fields have progressed independently. More recently, however, they have begun to interact, and that interaction has stimulated new perspective within both. In exchange rate economics, that new perspective has given rise to a distinct approach — a microstructure approach.A natural audience for this book includes people with expertise in only one of these two fields who are interested in learning more about the other. In the past this has not been easy — these areas have different intellectual traditions, so bridging them requires a large amount of investment. This book should facilitate that investment. To that end, I have tried to present the material on both fields in an accessible way, so that readers lacking specialization in either one should find the material within reach. Practitioners too, should find most of the material accessible (the empirical work in chapters 7 through 9 is most relevant to that audience).