Dagfinn Rime

BI Norwegian Business School

Professor

Nydalsveien 37

Oslo, 0442

Norway

http://home.bi.no/dagfinn.rime/

SCHOLARLY PAPERS

36

DOWNLOADS
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SSRN RANKINGS

Top 4,212

in Total Papers Downloads

13,401

SSRN CITATIONS
Rank 1,240

SSRN RANKINGS

Top 1,240

in Total Papers Citations

229

CROSSREF CITATIONS

747

Scholarly Papers (36)

1.

Foreign Exchange Market Structure, Players and Evolution

Norges Bank Working Paper No. 2011/10
Number of pages: 47 Posted: 30 Sep 2011
Michael R. King, Carol L. Osler and Dagfinn Rime
Gustavson School Of Business, Brandeis University - International Business School and BI Norwegian Business School
Downloads 1,690 (14,777)
Citation 16

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Exchange rates, algorithmic trading, market microstructure, electronic trading, high frequency trading

2.
Downloads 1,666 ( 15,097)
Citation 32

Covered Interest Parity Arbitrage

Review of Financial Studies (forthcoming)
Number of pages: 116 Posted: 05 Dec 2016 Last Revised: 11 Jan 2022
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Norges Bank
Downloads 1,352 (20,322)
Citation 21

Abstract:

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Covered interest parity; Money market segmentation; Funding liquidity; FX swap market; U.S. dollar funding

Segmented Money Markets and Covered Interest Parity Arbitrage

Norges Bank Working Paper 15/17; ISBN: 978-82-7553-995-1
Number of pages: 75 Posted: 24 Oct 2017
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Norges Bank
Downloads 218 (194,925)
Citation 16

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Covered Interest Parity; Money Market Segmentation; Funding Liquidity Premia; FX Swap Market; U.S. Dollar Funding

Segmented Money Markets and Covered Interest Parity Arbitrage

BIS Working Paper No. 651
Number of pages: 81 Posted: 12 Jul 2017
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Norges Bank
Downloads 92 (384,858)

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Covered interest parity, money market segmentation, funding liquidity premia, FX swap market, U.S. dollar funding

Covered Interest Parity Arbitrage

CEPR Discussion Paper No. DP13637
Number of pages: 105 Posted: 01 Apr 2019
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Norges Bank
Downloads 4 (884,811)
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Covered Interest Parity, Funding Liquidity Premia, FX Swap Market, U.S. Dollar Funding

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Norges Bank Working Paper No. 2005/12, EFA 2006 Zurich Meetings
Number of pages: 40 Posted: 06 Mar 2006
Qaisar Farooq Akram, Dagfinn Rime and Lucio Sarno
Norges Bank, BI Norwegian Business School and University of Cambridge - Judge Business School
Downloads 1,000 (31,639)
Citation 8

Abstract:

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exchange rates, arbitrage, covered interest rate parity, foreign exchange microstructure

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

CEPR Discussion Paper No. DP6878
Number of pages: 36 Posted: 20 Aug 2008
Qaisar Farooq Akram, Dagfinn Rime and Lucio Sarno
Norges Bank, BI Norwegian Business School and University of Cambridge - Judge Business School
Downloads 6 (861,512)
Citation 30
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arbitrage, covered interest rate parity, exchange rates, foreign exchange microstructure

4.

Microstructure of Foreign Exchange Markets

Number of pages: 31 Posted: 13 Mar 2019
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 752 (47,559)
Citation 4

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Exchange-Rate Dynamics, Microstructure, Order Flows, Liquidity, Electronic trading

5.

FX Trading... Live! Dealer Behavior and Trading Systems in Foreign Exchange Markets

EFA 0575
Number of pages: 43 Posted: 28 Nov 2000
Geir Hoidal Bjonnes and Dagfinn Rime
BI Norwegian Business School and BI Norwegian Business School
Downloads 621 (61,030)
Citation 7

Abstract:

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Foreign exchange, microstructure, trading

6.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Banque de FranceMassachusetts Institute of Technology (MIT) - Sloan School of Management, BI Norwegian Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 606 (63,072)
Citation 1

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Exchange rates, risk premium, order flow

7.

The $4 Trillion Question: What Explains FX Growth Since the 2007 Survey?

BIS Quarterly Review, December 2010
Number of pages: 16 Posted: 22 Aug 2012
Michael R. King and Dagfinn Rime
Gustavson School Of Business and BI Norwegian Business School
Downloads 597 (64,165)

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8.

Dealer Behavior and Trading Systems in Foreign Exchange Markets

EFA 0575
Number of pages: 43 Posted: 27 Nov 2000
Geir Hoidal Bjonnes and Dagfinn Rime
BI Norwegian Business School and BI Norwegian Business School
Downloads 508 (78,502)
Citation 29

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Foreign exchange, microstructure, trading

The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market

BOFIT Discussion Paper No. 17/2014
Number of pages: 42 Posted: 20 May 2016
Yin-Wong Cheung and Dagfinn Rime
University of California, Santa Cruz - Department of Economics and BI Norwegian Business School
Downloads 172 (241,128)
Citation 3

Abstract:

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F31, F33, G14, G15, G21, G28

The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market

CESifo Working Paper Series No. 4850
Number of pages: 34 Posted: 09 Jul 2014
Yin-Wong Cheung and Dagfinn Rime
University of California, Santa Cruz - Department of Economics and BI Norwegian Business School
Downloads 137 (290,810)

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foreign exchange market microstructure, order flow, limit-order imbalance, CNH, CNY, central parity rate

The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market

Number of pages: 34 Posted: 11 Jun 2014 Last Revised: 18 Jun 2014
Yin-Wong Cheung and Dagfinn Rime
University of California, Santa Cruz - Department of Economics and BI Norwegian Business School
Downloads 131 (300,916)

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Foreign Exchange Market Microstructure, Order Flow, Limit-Order Imbalance, CNH, CNY, Central Parity Rate

Asymmetric Information in the Interbank Foreign Exchange Market

Number of pages: 29 Posted: 06 Mar 2008
BI Norwegian Business School, Brandeis University - International Business School and BI Norwegian Business School
Downloads 245 (173,994)
Citation 5

Abstract:

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Foreign exchange, microstructure

Asymmetric Information in the Interbank Foreign Exchange Market

Number of pages: 30 Posted: 17 Feb 2009 Last Revised: 04 May 2010
BI Norwegian Business School, Brandeis University - International Business School and BI Norwegian Business School
Downloads 191 (220,056)
Citation 2

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foreign exchange, microstructure, asymmetric information, liquidity premium

11.

U.S. Exchange Rates and Currency Flows

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 42 Posted: 04 Mar 2002
Dagfinn Rime
BI Norwegian Business School
Downloads 432 (95,188)
Citation 14

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Foreign exchange, international macroeconomics, microstructure

12.

The Anatomy of the Global FX Market Through the Lens of the 2013 Triennial Survey

BIS Quarterly Review, December 2013
Number of pages: 18 Posted: 28 Apr 2014
BI Norwegian Business School and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 418 (98,861)
Citation 4

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13.

Fixing the Fix? Assessing the Effectiveness of the 4pm Fix Benchmark

FCA Occasional Paper
Number of pages: 98 Posted: 25 Oct 2018
Georgetown University - Department of Economics, Financial Conduct Authority, BI Norwegian Business School and BI Norwegian Business School
Downloads 409 (101,389)
Citation 5

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benchmark, foreign exchange markets, 4pm fix, market microstructure, transactions-based fixing

14.
Downloads 257 (101,680)
Citation 171

The Scapegoat Theory of Exchange Rates: The First Tests

Number of pages: 59 Posted: 15 Jan 2012 Last Revised: 07 May 2014
DIW Berlin, BI Norwegian Business School, University of Cambridge - Judge Business School and Bank of Italy
Downloads 160 (256,544)
Citation 8

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scapegoat, exchange rates, economic fundamentals, survey data, order flow

The Scapegoat Theory of Exchange Rates: The First Tests

Bank of Italy Temi di Discussione (Working Paper) No. 991
Number of pages: 68 Posted: 28 Feb 2015
DIW Berlin, BI Norwegian Business School, University of Cambridge - Judge Business School and Bank of Italy
Downloads 97 (372,045)
Citation 20

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scapegoat, exchange rates, economic fundamentals, survey data

15.

The Foreign Exchange Market

The Research Handbook of Financial Markets, edited by Refet Gürkaynak and Jonathan Wright. Edward Elgar. 2022.
Number of pages: 25 Posted: 06 Apr 2022 Last Revised: 26 May 2022
Alain Chaboud, Dagfinn Rime and Vladyslav Sushko
Board of Governors of the Federal Reserve System, BI Norwegian Business School and Bank for International Settlements (BIS)
Downloads 383 (109,690)

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Financial markets, Foreign exchange, Market microstructure, Dealer intermediation, Electronic trading, Algorithmic trading

16.

Volume and Volatility in the Fx-Market: Does it Matter Who You are?

Number of pages: 24 Posted: 07 Feb 2004
BI Norwegian Business School, BI Norwegian Business School and Norges Bank
Downloads 378 (110,973)

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Volume-volatility relation, microstructure, exchange rates

17.

The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward

Journal of International Money and Finance, Forthcoming, Norges Bank Working Paper 2013/12
Number of pages: 55 Posted: 24 May 2013
Michael R. King, Carol L. Osler and Dagfinn Rime
Gustavson School Of Business, Brandeis University - International Business School and BI Norwegian Business School
Downloads 360 (117,247)
Citation 4

Abstract:

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F31, G12, G15, C42, C82

18.

Private or Public Information in Foreign Exchange Markets? An Empirical Analysis

Working Paper No. 14/2000
Number of pages: 47 Posted: 15 Jan 2001
Dagfinn Rime
BI Norwegian Business School
Downloads 357 (118,312)
Citation 26

Abstract:

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Foreign exchange, international macroeconomics, microstructure

19.

Carry Trades, Order Flow and the Forward Bias Puzzle

Number of pages: 60 Posted: 15 Aug 2015
Francis Breedon, Dagfinn Rime and Paolo Vitale
University of London, Queen Mary - School of Economics and Finance, BI Norwegian Business School and G. d'Annunzio University - Dipartimento di Economia
Downloads 321 (132,657)
Citation 5

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Forward Premium Puzzle, FX Microstructure, Carry Trade, Survey Data

20.
Downloads 275 (155,621)
Citation 7

Micro Approaches to Foreign Exchange Determination

Number of pages: 37 Posted: 26 Jan 2011
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 138 (289,149)
Citation 3

Abstract:

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Exchange Rate Dynamics, Microstructure, Order Flow

Micro Approaches to Foreign Exchange Determination

Norges Bank Working Paper No. 2011/05
Number of pages: 45 Posted: 30 Sep 2011
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 137 (290,810)
Citation 8

Abstract:

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Exchange Rate Dynamics, Microstructure, Order Flow

Exchange Rates, Interest Rates and the Global Carry Trade

Number of pages: 67 Posted: 17 Jul 2017
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 145 (278,069)
Citation 1

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Exchange Rate Dynamics, Microstructure, Order Flow

Exchange Rates, Interest Rates and the Global Carry Trade

Norges Bank Working Paper 14/17; ISBN 978-82-7553-994-4
Number of pages: 70 Posted: 24 Oct 2017
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 127 (309,901)

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Exchange Rate Dynamics, Microstructure, Order Flow

22.

The Impact of Different Players on the Volume-Volatility Relation in the Foreign Exchange Market

EFA 2007 Ljubljana Meetings Paper
Number of pages: 23 Posted: 06 Mar 2007
BI Norwegian Business School, BI Norwegian Business School and Norges Bank
Downloads 240 (178,078)
Citation 2

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Volume-volatility relation, microstructure, exchange rates

23.

Order Flow Information and Spot Rate Dynamics

Number of pages: 34 Posted: 23 Apr 2015
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 212 (200,187)
Citation 1

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Exchange Rate Dynamics, Microstructure, Order Flow

24.

Herding the Scapegoats: Foreign Exchange Order Flow and the Time-Varying Effect of Fundamentals

Number of pages: 45 Posted: 29 May 2014 Last Revised: 04 Jun 2014
Stockholm School of Economics - Department of Finance, University of Warwick - Warwick Business School, BI Norwegian Business School and University of Jordan
Downloads 172 (240,861)
Citation 3

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Foreign exchange microstructure, Unstable fundamentals, Scapegoat theory

'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks

Norges Bank Working Paper
Number of pages: 28 Posted: 02 Mar 2006
BI Norwegian Business School, University of Oslo - Department of Economics, BI Norwegian Business School and Norges Bank
Downloads 100 (364,826)
Citation 1

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Speculative attacks, microstructure, international finance, large players

'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks

CESifo Working Paper Series No. 2518
Number of pages: 44 Posted: 19 Jan 2009
BI Norwegian Business School, University of Oslo - Department of Economics, BI Norwegian Business School and Norges Bank
Downloads 71 (448,766)
Citation 2

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speculative attacks, microstructure, international finance, large players

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Number of pages: 31 Posted: 14 Apr 2005
Luc Bauwens, Dagfinn Rime and Genaro Sucarrat
Université catholique de Louvain, BI Norwegian Business School and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 147 (275,048)
Citation 4

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Exchange rate volatility, log-linear analysis, mixture of distribution hypothesis

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Empirical Economics, Vol. 30, No. 4, pp. 889-911, 2005
Posted: 22 Feb 2006
Luc Bauwens, Dagfinn Rime and Genaro Sucarrat
Université catholique de Louvain, BI Norwegian Business School and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)

Abstract:

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Exchange rate volatility, log-linear analysis, mixture of distribution hypothesis

27.

Price Discovery in Two-Tier Markets

International Journal of Finance and Economics, forthcoming
Number of pages: 52 Posted: 13 Jul 2020
BI Norwegian Business School, Brandeis University - International Business School and BI Norwegian Business School
Downloads 137 (289,704)

Abstract:

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Foreign exchange, microstructure, asymmetric information, liquidity premium

A Transaction Data Study of the Forward Bias Puzzle

Norges Bank Working Paper 2010/26
Number of pages: 37 Posted: 09 Jan 2011
Francis Breedon, Dagfinn Rime and Paolo Vitale
University of London, Queen Mary - School of Economics and Finance, BI Norwegian Business School and G. d'Annunzio University - Dipartimento di Economia
Downloads 60 (489,948)

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Forward Discount Puzzle, FX Microstructure, Carry Trade, Survey Data

A Transaction Data Study of the Forward Bias Puzzle

CEPR Discussion Paper No. DP7791
Number of pages: 40 Posted: 19 May 2010
Francis Breedon, Dagfinn Rime and Paolo Vitale
University of London, Queen Mary - School of Economics and Finance, BI Norwegian Business School and G. d'Annunzio University - Dipartimento di Economia
Downloads 3 (897,702)
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Carry Trade, Forward Discount Puzzle, FX Microstructure, Survey Data

29.

Does Publication of Interest Rate Paths Provide Guidance?

Journal of International Money and Finance, Volume 103, May 2020, 102123.
Number of pages: 42 Posted: 05 Dec 2018 Last Revised: 19 Jun 2020
BI Norwegian Business School - Department of Economics, BI Norwegian Business School and Norges Bank
Downloads 50 (523,967)
Citation 1

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monetary policy, interest rate paths, forward guidance, high-frequency data, forecasts

30.

The Flows of the Pacific: Asian Foreign Exchange Markets through Tranquility and Turbulence

Norges Bank Working Paper 2012|01
Number of pages: 40 Posted: 01 May 2013
Dagfinn Rime and Hans Tranvåg
BI Norwegian Business School and Norwegian University of Science and Technology (NTNU)
Downloads 19 (708,863)

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order flow, microstructure, Asian and Australasian exchange rates

31.

Exchange Rate Forecasting, Order Flow and Macroeconomic Information

CEPR Discussion Paper No. DP7225
Number of pages: 51 Posted: 07 Apr 2009
Dagfinn Rime, Lucio Sarno and Elvira Sojli
BI Norwegian Business School, University of Cambridge - Judge Business School and UNSW Australia Business School, School of Banking and Finance
Downloads 5 (839,123)
Citation 8
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exchange rates, forecasting, macroeconomic news, microstructure, order flow

32.

'Large' Versus 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks

The Scandinavian Journal of Economics, Vol. 116, Issue 2, pp. 506-538, 2014
Number of pages: 33 Posted: 13 Mar 2014
BI Norwegian Business School, University of Oslo - Department of Economics, BI Norwegian Business School and Norges Bank
Downloads 1 (889,061)

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Currency crises, foreign exchange trading, large players, microstructure

33.

New Electronic Trading Systems in the Foreign Exchange Market

New Economy Handbook, 2003
Posted: 14 Jun 2007
Dagfinn Rime
BI Norwegian Business School

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34.

Analysis of Spreads in the Dollar/Euro and Deutsche Mark/Dollar Foreign Exchange Markets

Economic Policy, Vol. 17, No. 35, 2002
Posted: 14 Jun 2007
London School of Economics & Political Science (LSE) - Financial Markets Group, London School of Economics & Political Science (LSE), City University London - The Business School and BI Norwegian Business School

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35.

Dealer Behavior and Trading Systems in the Foreign Exchange Market

Journal of Financial Economics, Vol. 75, No. 3, 2005
Posted: 14 Jun 2007
Geir Hoidal Bjonnes and Dagfinn Rime
BI Norwegian Business School and BI Norwegian Business School

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Foreign Exchange, Trading, Microstructure

36.

Liquidity Provision in the Overnight Foreign Exchange Market

Journal of International Money and Finance, Vol. 24, No. 2, pp. 177-198, March 2005
Posted: 22 Feb 2006
BI Norwegian Business School, BI Norwegian Business School and Norges Bank

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International finance, Liquidity