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Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis?
By:Mr. Törbjörn I. Becker,Mr. Amadou N. R. Sy
Published on 2005-02-01 by International Monetary Fund

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.

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Book which was published by International Monetary Fund since 2005-02-01 have ISBNs, ISBN 13 Code is 9781451905892 and ISBN 10 Code is 1451905890

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