AN OVER‐THE‐COUNTER APPROACH TO THE FOREX MARKET
构建了一个外汇市场中介的动态一般均衡模型，计算买卖价差和交易量等流动性指标，研究宏观经济和微观结构如何影响这些指标，以及市场微观结构如何影响国际贸易和福利。
Abstract The foreign exchange (FOREX) market is an over‐the‐counter market characterized by intermediation and significant bid–ask spreads. However, most of the existing international macroeconomics literature models the FOREX as a standard Walrasian market. This article constructs a dynamic general equilibrium model of intermediation in the FOREX market. We use our framework to compute standard measures of FOREX liquidity, such as bid–ask spreads and trade volume, and study how they are affected by macroeconomic fundamentals and market microstructure. We also study how FOREX market microstructure affects the volume of international trade and, consequently, welfare. Our empirical exercise offers support to the models' main predictions.