Dagfinn Rime

BI Norwegian Business School

Professor

Nydalsveien 37

Oslo, 0442

Norway

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

SCHOLARLY PAPERS

35

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9,155

SSRN RANKINGS

Top 1,522

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371

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Scholarly Papers (35)

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
Ivey Business School, Brandeis University - International Business School and BI Norwegian Business School
Downloads 1,037 (20,035)

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

2.
Downloads 866 ( 26,115)

Covered Interest Parity Arbitrage

Number of pages: 93 Posted: 05 Dec 2016 Last Revised: 16 Mar 2019
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 746 (31,641)

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Covered Interest Parity, Money Market Segmentation, Funding Liquidity Risk Premia, FX Swap Market, US Dollar Funding

Segmented Money Markets and Covered Interest Parity Arbitrage

BIS Working Paper No. 651
Number of pages: 81 Posted: 12 Jul 2017
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 76 (312,277)

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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

Norges Bank Working Paper 15/17; ISBN: 978-82-7553-995-1
Number of pages: 75 Posted: 24 Oct 2017
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 42 (417,733)

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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
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 2 (656,438)
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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 City University London - Sir John Cass Business School
Downloads 840 (26,833)

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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 City University London - Sir John Cass Business School
Downloads 6 (622,202)
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arbitrage, covered interest rate parity, exchange rates, foreign exchange microstructure

4.

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
The Norwegian School of Management BI and BI Norwegian Business School
Downloads 579 (45,131)

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Foreign exchange, microstructure, trading

5.

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
Ivey Business School and BI Norwegian Business School
Downloads 484 (56,676)

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6.

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
The Norwegian School of Management BI and BI Norwegian Business School
Downloads 462 (60,047)

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Foreign exchange, microstructure, trading

7.

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 408 (69,783)

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Foreign exchange, international macroeconomics, microstructure

8.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Massachusetts Institute of Technology (MIT) - Sloan School of Management, BI Norwegian Business School, City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 407 (70,026)

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Exchange rates, risk premium, order flow

Asymmetric Information in the Interbank Foreign Exchange Market

Number of pages: 29 Posted: 06 Mar 2008
The Norwegian School of Management BI, Brandeis University - International Business School and BI Norwegian Business School
Downloads 205 (145,605)

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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
The Norwegian School of Management BI, Brandeis University - International Business School and BI Norwegian Business School
Downloads 181 (163,532)

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foreign exchange, microstructure, asymmetric information, liquidity premium

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
City University of Hong Kong - Department of Economics & Finance and BI Norwegian Business School
Downloads 139 (205,007)

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F31, F33, G14, G15, G21, G28

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
City University of Hong Kong - Department of Economics & Finance and BI Norwegian Business School
Downloads 122 (227,241)

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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

CESifo Working Paper Series No. 4850
Number of pages: 34 Posted: 09 Jul 2014
Yin-Wong Cheung and Dagfinn Rime
City University of Hong Kong - Department of Economics & Finance and BI Norwegian Business School
Downloads 119 (231,599)

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

11.

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

CESifo Working Paper Series No. 786
Number of pages: 24 Posted: 07 Feb 2004
The Norwegian School of Management BI, BI Norwegian Business School and Norges Bank
Downloads 351 (83,188)

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Volume-volatility relation, microstructure, exchange rates

12.
Downloads 216 ( 86,638)

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, City University London - Sir John Cass Business School and Bank of Italy
Downloads 133 (212,488)

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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, City University London - Sir John Cass Business School and Bank of Italy
Downloads 83 (296,072)

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scapegoat, exchange rates, economic fundamentals, survey data

13.

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 328 (89,882)

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Foreign exchange, international macroeconomics, microstructure

14.

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
Dagfinn Rime and Andreas Schrimpf
BI Norwegian Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 305 (97,325)

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15.

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 281 (106,270)

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

16.
Downloads 243 (123,609)

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 131 (215,143)

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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 112 (242,203)

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Exchange Rate Dynamics, Microstructure, Order Flow

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
Ivey Business School, Brandeis University - International Business School and BI Norwegian Business School
Downloads 234 (128,465)

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F31, G12, G15, C42, C82

18.

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
The Norwegian School of Management BI, BI Norwegian Business School and Norges Bank
Downloads 223 (134,640)

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Volume-volatility relation, microstructure, exchange rates

19.

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 176 (167,621)

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

20.

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 174 (169,364)

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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 91 (279,273)

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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 71 (324,844)

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Exchange Rate Dynamics, Microstructure, Order Flow

'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
The Norwegian School of Management BI, University of Oslo - Department of Economics, BI Norwegian Business School and Norges Bank
Downloads 91 (279,273)

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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
The Norwegian School of Management BI, University of Oslo - Department of Economics, BI Norwegian Business School and Norges Bank
Downloads 63 (346,734)

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speculative attacks, microstructure, international finance, large players

23.

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 Queen's University Belfast - Finance
Downloads 148 (194,379)

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Foreign exchange microstructure, Unstable fundamentals, Scapegoat theory

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 124 (224,512)

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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

25.

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 86 (289,222)

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

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 53 (377,837)

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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 (645,426)
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Carry Trade, Forward Discount Puzzle, FX Microstructure, Survey Data

27.

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 17 (529,726)

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order flow, microstructure, Asian and Australasian exchange rates

28.

Publication of Interest Rate Paths: Guidance?

Number of pages: 32 Posted: 05 Dec 2018
BI Norwegian Business School - Department of Economics, BI Norwegian Business School and Norges Bank
Downloads 16 (535,382)

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

29.

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, City University London - Sir John Cass Business School and UNSW Business School, School of Banking and Finance
Downloads 5 (602,294)
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exchange rates, forecasting, macroeconomic news, microstructure, order flow

30.

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

Pacific Economic Review, Vol. 17, Issue 3, pp. 434-466, 2012
Number of pages: 33 Posted: 23 Aug 2012
Dagfinn Rime and Hans Joergen Tranvaag
BI Norwegian Business School and affiliation not provided to SSRN
Downloads 1 (638,962)
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31.

'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
The Norwegian School of Management BI, University of Oslo - Department of Economics, BI Norwegian Business School and Norges Bank
Downloads 0 (657,040)
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Currency crises, foreign exchange trading, large players, microstructure

32.

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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33.

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 - Sir John Cass Business School and BI Norwegian Business School

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34.

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
The Norwegian School of Management BI and BI Norwegian Business School

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Foreign Exchange, Trading, Microstructure

35.

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
The Norwegian School of Management BI, BI Norwegian Business School and Norges Bank

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International finance, Liquidity