Dagfinn Rime

BI Norwegian Business School

Professor

Nydalsveien 37

Oslo, 0442

Norway

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

  • BI Norwegian Business School

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    • Tel: +47-46410507
SCHOLARLY PAPERS

35

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311

Scholarly Papers (35)

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1.

Covered Interest Parity Arbitrage

Downloads 2,228 (14,527)
Citation 46

Covered Interest Parity Arbitrage

Review of Financial Studies (forthcoming)
Number of pages: 116 Posted: 05 Dec 2016 Last Revised: 11 Jan 2022
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and BI Norwegian Business School
Downloads 1,682 (22,224)
Citation 24

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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
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and BI Norwegian Business School
Downloads 409 (150,922)
Citation 22

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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
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and BI Norwegian Business School
Downloads 132 (460,124)

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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 BI Norwegian Business School
Downloads 5 (1,328,884)
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Covered Interest Parity, Funding Liquidity Premia, FX Swap Market, U.S. Dollar Funding

2.

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 2,093 (16,033)
Citation 16

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

3.

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 1,524 (26,239)
Citation 4

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

4.

The Foreign Exchange Market

The Research Handbook of Financial Markets, edited by Refet Gürkaynak and Jonathan Wright. Edward Elgar. 2023, May.
Number of pages: 25 Posted: 06 Apr 2022 Last Revised: 29 Feb 2024
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 1,356 (31,193)
Citation 4

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

5.

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Downloads 1,236 (35,690)
Citation 38

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 1,230 (35,364)
Citation 8

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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 (1,320,296)
Citation 30
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arbitrage, covered interest rate parity, exchange rates, foreign exchange microstructure

6.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Valère Fourel, Valère Fourel, Dagfinn Rime, Lucio Sarno, Maik Schmeling, Adrien Verdelhan and Adrien Verdelhan
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 756 (70,870)
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 678 (81,465)

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8.

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 664 (83,689)
Citation 7

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Foreign exchange, microstructure, trading

9.

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 574 (100,800)
Citation 42

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Foreign exchange, microstructure, trading

10.

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 556 (104,868)
Citation 4

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11.

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

FCA Occasional Paper
Number of pages: 98 Posted: 25 Oct 2018
Martin D.D. Evans, Peter O'Neill, Dagfinn Rime and Jo Saakvitne
Georgetown University - Department of Economics, UNSW Australia Business School, School of Banking and Finance, BI Norwegian Business School and BI Norwegian Business School
Downloads 548 (106,775)
Citation 11

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

12.

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

Downloads 526 (112,377)
Citation 6

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 Last Revised: 18 Nov 2021
Yin-Wong Cheung and Dagfinn Rime
University of California, Santa Cruz - Department of Economics and BI Norwegian Business School
Downloads 206 (307,731)
Citation 3

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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 161 (385,184)
Citation 3

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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
University of California, Santa Cruz - Department of Economics and BI Norwegian Business School
Downloads 159 (389,453)

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

13.

The Scapegoat Theory of Exchange Rates: The First Tests

Downloads 325 (114,231)
Citation 29

The Scapegoat Theory of Exchange Rates: The First Tests

Number of pages: 59 Posted: 15 Jan 2012 Last Revised: 07 May 2014
Marcel Fratzscher, Dagfinn Rime, Lucio Sarno and Gabriele Zinna
DIW Berlin, BI Norwegian Business School, University of Cambridge - Judge Business School and Bank of Italy - Research Department
Downloads 192 (328,724)
Citation 6

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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
Marcel Fratzscher, Dagfinn Rime, Lucio Sarno and Gabriele Zinna
DIW Berlin, BI Norwegian Business School, University of Cambridge - Judge Business School and Bank of Italy - Research Department
Downloads 133 (451,575)
Citation 23

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scapegoat, exchange rates, economic fundamentals, survey data

14.

Asymmetric Information in the Interbank Foreign Exchange Market

Downloads 495 (120,903)
Citation 7

Asymmetric Information in the Interbank Foreign Exchange Market

Number of pages: 29 Posted: 06 Mar 2008
Geir Hoidal Bjonnes, Carol L. Osler and Dagfinn Rime
BI Norwegian Business School, Brandeis University - International Business School and BI Norwegian Business School
Downloads 278 (228,685)
Citation 5

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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
Geir Hoidal Bjonnes, Carol L. Osler and Dagfinn Rime
BI Norwegian Business School, Brandeis University - International Business School and BI Norwegian Business School
Downloads 217 (292,737)
Citation 2

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foreign exchange, microstructure, asymmetric information, liquidity premium

15.

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 476 (126,779)
Citation 11

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F31, G12, G15, C42, C82

16.

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 471 (128,344)
Citation 14

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Foreign exchange, international macroeconomics, microstructure

17.

Exchange Rates, Interest Rates and the Global Carry Trade

Downloads 457 (133,114)
Citation 1

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 249 (255,867)
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 208 (304,915)

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Exchange Rate Dynamics, Microstructure, Order Flow

18.

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

Number of pages: 24 Posted: 07 Feb 2004
Geir Hoidal Bjonnes, Dagfinn Rime and Haakon Solheim
BI Norwegian Business School, BI Norwegian Business School and Norges Bank
Downloads 411 (150,767)

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Volume-volatility relation, microstructure, exchange rates

19.

Micro Approaches to Foreign Exchange Determination

Downloads 383 (163,299)
Citation 11

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 244 (261,087)
Citation 8

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Exchange Rate Dynamics, Microstructure, Order Flow

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 139 (435,639)
Citation 3

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Exchange Rate Dynamics, Microstructure, Order Flow

20.

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 382 (163,786)
Citation 26

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Foreign exchange, international macroeconomics, microstructure

21.

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 376 (166,618)
Citation 9

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

22.

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 316 (201,200)
Citation 1

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Exchange Rate Dynamics, Microstructure, Order Flow

23.

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
Geir Hoidal Bjonnes, Dagfinn Rime and Haakon Solheim
BI Norwegian Business School, BI Norwegian Business School and Norges Bank
Downloads 278 (230,296)
Citation 2

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Volume-volatility relation, microstructure, exchange rates

24.

Price Discovery in Two-Tier Markets

International Journal of Finance and Economics, forthcoming
Number of pages: 52 Posted: 13 Jul 2020
Geir Hoidal Bjonnes, Carol L. Osler and Dagfinn Rime
BI Norwegian Business School, Brandeis University - International Business School and BI Norwegian Business School
Downloads 223 (286,618)
Citation 2

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Foreign exchange, microstructure, asymmetric information, liquidity premium

25.

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

Downloads 221 (289,047)
Citation 3

'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
Geir Hoidal Bjonnes, Steinar Holden, Dagfinn Rime and Haakon Solheim
BI Norwegian Business School, University of Oslo - Department of Economics, BI Norwegian Business School and Norges Bank
Downloads 130 (460,124)
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
Geir Hoidal Bjonnes, Steinar Holden, Dagfinn Rime and Haakon Solheim
BI Norwegian Business School, University of Oslo - Department of Economics, BI Norwegian Business School and Norges Bank
Downloads 91 (599,403)
Citation 2

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speculative attacks, microstructure, international finance, large players

26.

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
Anna Lindahl, Michael Moore, Dagfinn Rime and Ali Shehadeh
Stockholm School of Economics - Department of Finance, University of Warwick - Warwick Business School, BI Norwegian Business School and University of Jordan
Downloads 194 (326,592)
Citation 3

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Foreign exchange microstructure, Unstable fundamentals, Scapegoat theory

27.

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Downloads 178 (353,285)
Citation 4

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 178 (352,582)
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

28.

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
Gisle James James Natvik, Dagfinn Rime and Olav Syrstad
BI Norwegian Business School - Department of Economics, BI Norwegian Business School and BI Norwegian Business School
Downloads 98 (573,163)
Citation 1

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

29.

A Transaction Data Study of the Forward Bias Puzzle

Downloads 84 (622,250)

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 80 (648,856)

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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 4 (1,336,583)
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Carry Trade, Forward Discount Puzzle, FX Microstructure, Survey Data

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 46 (841,414)

Abstract:

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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 University of New South Wales (UNSW)
Downloads 5 (1,275,716)
Citation 8
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exchange rates, forecasting, macroeconomic news, microstructure, order flow

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
Charles Goodhart, Ryan Love, Richard Payne and Dagfinn Rime
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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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
BI Norwegian Business School 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
Geir Hoidal Bjonnes, Dagfinn Rime and Haakon Solheim
BI Norwegian Business School, BI Norwegian Business School and Norges Bank

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International finance, Liquidity