The Russian Currency Market: Microstructure, News and

01 January 2013 → 31 December 2018
Research Foundation - Flanders (FWO)
Research disciplines
  • Social sciences
    • Applied economics
news microstructure Oil
Project description

The project investigates the microstructure of the Russian currency market. Russia is an important market for European goods and services (including the banking sector) and a major supplier of commodities like oil, gas, gold, diamonds etc. The Russian currency market is therefore of great importance not only for the domestic, but also for the European economy. We will analyze how new information is processed into prices. This can happen directly and instantaneous, or indirect and delayed via order flow (signed transaction volume). The fraction depends on the market design, the share of private information and market design. Furthermore, we split up the price process into its continuous and its jump component. Jumps can be attributed to the arrival of news, but also to liquidity shocks. The latter may be of high importance in (less liquid) emerging economies’ exchange rates, but have rarely been investigated in the past. The spread (the difference between the buy and sell price) also depends on liquidity, news and information arrival. We will apply a model that has never before been used for the foreign exchange market nor to intradaily prices. Finally we will investigate the relation between oil prices and the exchange rate. The project at the same time applies standard methodologies to the rarely covered, but highly relevant and unique transition economy of Russia, but also contributes methodologically to the literature.