"

"

2011

\ " "(microstructure)

": - 4

"

" - : ( + )

" - :

" - : ( 2007 = 100)

"

\ - \ 12 : , - \ ( ) ( ) \ ( )

\ 12 ( BIS 2007) : " (PPP, - UIP) (OLS, GARCH -) 1/1993 6/2009 \ ( ) 0.2 - 0.3

\ \: 20081/ - 07/2010 (1/08 = 100)

" " (microstructure)

"

" OTC REPO"" (CDS )Money markets

": OTC ( ). - 80%-90% (" ECB,IMF ). . - 24 , , '. : ( ) ( ) . : 10 -73%

(, , , ). - ( " "). - .

- -BISTraditional FX market: - . . - " . FX Swap - . " " (" Spot) " " ( Forward).

OTC derivatives market ( -70'): Currency swap - . . - / , .

( ): BIS

- 2007 ( ): BIS

/ " " "

": " , (OTC)

: (1) , (2) , (3) ( ), (4) , (5) ", (6) - (7) ( )

: (1) , (2) (forward), (3) (swap), (4) (call) (put) - (5)

( ): (76%) (13%)

( )

" 2008-2009 - 31 ( = " ) ( ):* 2009 .

" " " , "

" " - " - 2008 - " " "

\ "

" ( ", , ') " ( ) - 80% - 90% (Osler, 2008) "" (, ") : " " ? " ? ?

" " - : () " "" : " , "

() (): (1) " \, (2) Bid-Ask Spread, (3)

( " ")

( ) ( )

"

" ": (660 , )

() " : " " 63 " (- 10% 660 ) 63 : 47 " ( ), 16 ()

() "" " " " " (fixed effect):D(S) = a + bj flowj + D(S-1)D(BAS) = a + bj flowj + D(BAS-1)D(IV) = a + bj flowj + D(IV-1) D(S) \, D(BAS) Bid-Ask Spread D(IV) (") flow - , j= {1..660} 83 - flow ( 64 ", 19 )

( ), 55 40 - 15 660 ( ) ?

:

" ? 55 " (, ) ( ), " " 3 , : (1) \ ( ), (2) (3) ("), - 10% ( - 90 )

2 3

(35 ) 3

55 " (15 - 40 )

"

" (18 - 17 ) \ (%)

" " :" ( ) (swap) .

2008-2009 " : . " ( ) " . " . : \. 2008 2009 : ". " "

" - : , " \ ( 2007 = 100)

\ : 20081/ - 12/2009

(, ) (2007) -86% . -37% .: BIS

* : , , : , ( ), , ' : + => , , , ' : , ("), , ' : \ ( , ). (: , , ( ), ", , ). \ " : (), , "

* : + => , , , ' : , ("), , '* . = -0.54 = -0.25 1998-2009. - 2003 .* . - 2003 . " 2003 = 0.8* " " . " " - 10% 2007. " 2008 2009 . " = -0.7 " = -0.3. * : , , : , ( ), , '** ( 1% ) . 0.2 - 0.3

* " \. " \ - 25 - 100 . ( ) . - \ . \ - . , , ( 43%). (0.9) \ (0.85). (-0.3).

* " : (), , "

* : Deutsche Bank (17%), UBS (12.5%), Citigroup (7.5% " (off shore) * . . .* ( ) " ( ). ( ') (, '). " - 2008 " . - 2009 " . ? - " (, ") 2009: (3.8 ) "" .

* " " . * ". .* : \ ( , ). (: , , ( ), ", , ). \., (") .* " : (, " )

* ". ( 660 ) ) " ) " **660 - 90% (). - 40 "" - 660 . \ : " * ) flow ( ") . - flow ( - cross section) .*** 493 32 (- 6% ) 2008 2009. : 90 (" - 50 ). 0.3. * : " ( ) .***" " - 10% 2007. " 2008 2009 . " = -0.7 " = -0.3. \***