Employee Profile

Geir Høidal Bjønnes

Associate Professor - Department of Finance

Room number B4Y-083
Phone +4746410502
E-mail geir.bjonnes@bi.no

Biography

Personal homepage

Dr Bjønnes is primarily interested in Market Microstructure, Fixed Income, Treasury Auctions and International Finance. His current research focuses on (i) dealer behavior in foreign exchange markets (e.g. one paper is forthcoming in the Journal of Financial Economics), (ii) the behavior and determination of exchange rates and its relationship to aggregate order flow, (iii) volatility and speculative attacks in foreign exchange markets, and (iv) bidder behavior in Treasury auctions.

Teaching areas
At BI Norwegian School of Management Dr. Bjønnes has been teaching courses in Microeconomics, Macroeconomics, Fixed Income, Market Microstructure, Public Economics, International Economics and Finance. In addition to BI Norwegian School of Management, he is affiliated with the Stockholm Institute for Financial Research.

Area of Expertise

Publications

Scientific publications Other

Longarela, Inaki Rodriguez & Bjønnes, Geir Høidal (2024)

Price Discovery for Competing Currency Numeraires

Multinational Finance Journal, 28(3-4), s. 3- 39. Doi: 10.2139/ssrn.4022550

Menkveld, Albert; Dreber, Anna, Holzmeister, Felix, Huber, Juergen, Johannesson, Magnus, Kirchler, Michael, Neusus, Sebastian, Razen, Michael, Weitzel, Utz, Abad-Diaz, David, Abudy, Menachem, Adrian, Tobias, Ait-Sahalia, Yacine, Akmansoy, Olivier, Alcock, Jamie T., Alexeev, Vitali, Aloosh, Arash, Amato, Livia, Amaya, Diego, Angel, James J., Avetikian, Alejandro T., Bach, Amadeus, Baidoo, Edwin, Bakalli, Gaetan, Bao, Li, Bardon, Andrea, Bashchenko, Oksana, Bindra, Parampreet C., Bjønnes, Geir Høidal, Black, Jeffrey R., Black, Bernard S., Bogoev, Dimitar, Correa, Santiago Bohorquez, Bondarenko, Oleg, Bos, Charles S., Bosch-Rosa, Ciril, Bouri, Elie, Brownlees, Christian, Calamia, Anna, Cao, Viet Nga, Capelle-Blancard, Gunther, Romero, Laura M. Capera, Caporin, Massimiliano, Carrion, Allen, Caskurlu, Tolga, Chakrabarty, Bidisha, Chen, Jian, Chernov, Mikhail, Cheung, William, ter Ellen, Saskia, Ødegaard, Bernt Arne, Longarela, Inaki Rodriguez, Wika, Hans C. & Yuferova, Darya (2024)

Non-Standard Errors

Journal of Finance, 79(3) Doi: 10.1111/jofi.13337 - Full text in research archive

In statistics, samples are drawn from a population in a data‐generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence‐generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer‐review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.

Bjønnes, Geir Høidal; Osler, Carol L. & Rime, Dagfinn (2020)

Price Discovery in Two-Tier Markets

International Journal of Finance and Economics Doi: 10.1002/ijfe.1953

This paper examines the price discovery process in a two-tier market, specifically the foreign-exchange market. The goal is to identify the sources of private information and to gain insights into the process through which that informa- tion influences the market price. Using a transactions database that includes trading-party identities, we show that sustained post-trade returns rise with bank size, implying that larger banks have an information advantage. The larger banks exploit this information advantage in placing limit orders as well as market orders. We also show that the bank's private information does not come from their corporate or government customers or from some asset managers. Instead, the bank's private information appears to come from other asset managers, including hedge funds, and from the bank's own analysis

Bjønnes, Geir Høidal; Rime, Dagfinn & Solheim, Haakon (2019)

The impact of different players on the volume-volatility relation in the foreign exchange market

Beta, 33(1), s. 43- 60. Doi: 10.18261/issn.1504-3134-2019-01-04 - Full text in research archive

Bjønnes, Geir Høidal & Kathitziotis, Neophytos (2018)

Hva koster det å kjøpe og selge valuta? :

Praktisk økonomi & finans, 34(3), s. 239- 254. Doi: 10.18261/issn.1504-2871-2018-03-07 - Full text in research archive

Saakvitne, Jo Albertsen & Bjønnes, Geir Høidal (2015)

Hva skjer med det nordiske kraftderivatmarkedet om aktørene ikke får stille sikkerhet gjennom bankgarantier?

Magma forskning og viten, 8, s. 39- 48.

Bjønnes, Geir Høidal; Holden, Steinar, Rime, Dagfinn & Solheim, Haakon O. Aa (2014)

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

The Scandinavian Journal of Economics, 116(2), s. 506- 538. Doi: 10.1111/sjoe.12044 - Full text in research archive

What is the role of “large players” (e.g., hedge funds) in speculative attacks? Recent work suggests that large players move early to induce smaller agents to attack. However, many observers argue that large players move late in order to benefit from interest-rate differentials. We propose a model in which large players can do both. Using data on currency trading by foreign (large) and local (small) players, we find that foreign players moved last in three attacks on the Norwegian krone during the 1990s. During the attack on the Swedish krona after the Russian moratorium in 1998, foreign players moved early. Gains by delaying attack were small, however, because interest rates did not increase.

Bjønnes, Geir Høidal; Rime, Dagfinn & Solheim, Haakon O. Aa (2005)

Volume and volatility in the FX market: Does it matter who you are?

Grauwe, Paul De (red.). Exchange Rate Modelling: Where do we Stand? / Paul De Grauwe, ed

Bjønnes, Geir Høidal; Rime, Dagfinn & Solheim, Haakon O. Aa (2005)

Liquidity provision in the overnight foreign exchange market

Journal of International Money and Finance, 24(2), s. 175- 196. Doi: 10.1016/j.jimonfin.2004.12.003

We present evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange market using a unique daily data set covering almost all transactions in the SEK/EUR market over almost 10 years. Two main findings support this: (i) the net position of non-financial customers is negatively correlated with the exchange rate, opposed to the positive correlation found for financial customers and (ii) changes in net position of non-financial customers are forecasted by changes in net position of financial customers, indicating that non-financial customers take a passive role consistent with liquidity provision. (c) 2004 Elsevier Ltd. All rights reserved.

Bjønnes, Geir Høidal & Rime, Dagfinn (2005)

Dealer behavior and trading systems in foreign exchange markets

Journal of Financial Economics, 75(3), s. 571- 605. Doi: 10.1016/j.jfineco.2004.08.001

We study dealer behavior in the foreign exchange spot market using detailed observations on all the transactions of four interbank dealers. There is strong support for an information effect in incoming trades. The direction of trade is most important, but we also find that the information effect increases with trade size in direct bilateral trades. All four dealers control their inventory intensively. Inventory control is not, however, manifested through a dealer's own prices in contrast to findings by Lyons (J. Financial Econ. 39(1995) 321). Furthermore, we document differences in trading styles, especially how they actually control their inventories. (c) 2004 Elsevier B.V. All rights reserved.

Bjønnes, Geir Høidal; Rime, Dagfinn & Solheim, Haakon (2004)

The Role of Foreign Speculators in Speculative Attacks. The Case of 1998

Sandrine Lardic and Valérie Mignon (eds.): Recent Developments on Exchange Rates

Bjønnes, Geir (1999)

Forventningsdannelse i futuresmarkeder for råolje og oljeprodukter

Beta

Bjønnes, Geir Høidal; Isachsen, Arne Jon & Stoknes, Svein (1998)

Den store gjettekonkurransen

Korsvold, Pål E. & Høidal, Geir Bjønnes (2012)

Oppgaver og løsninger

[Textbook]. Cappelen Damm Akademisk.

Korsvold, Pål E. & Høidal, Geir Bjønnes (2012)

Finansiell Risikostyring

[Scientific book]. Cappelen Damm Akademisk.

Bjønnes, Geir Høidal & Jørgensen, Kjell (2011)

"Empirical Evidence on Algorithmic Trading: Strategies and Liquidity Provision"

[Academic lecture]. Infiniti 2011.

Bjønnes, Geir Høidal (2009)

Asymmetric Information in the Interbank Foreign Exchange Market

[Academic lecture]. 3th EMG Workshop on Microstructure of Financial Markets.

Bjønnes, Geir Høidal (2009)

Asymmetric Information in the Interbank Foregin Exchange Market

[Academic lecture]. Annual workshop.

Bjønnes, Geir Høidal (2009)

The impact of different players on the volume-volatility relation in the foreign exchange market

[Academic lecture]. Infinity Conference on International Finance.

Isachsen, Arne Jon & Bjønnes, Geir Høidal (2005)

Hjelper til globale penger

[Scientific book]. Gyldendal Akademisk.

Bjønnes, Geir Høidal & Rime, Dagfinn (2004)

Electronic FX Trading -- influencing dealer behaviour?

[Article in business/trade/industry journal]. e-FOREX, s. 60- 62.

Isachsen, Arne Jon & Bjønnes, Geir Høidal (2004)

Globale Penger

[Scientific book]. Gyldendal Akademisk.

Bjønnes, Geir Høidal (2003)

Volume and volatility in the FX-market: Does it matter who you are?

[Report]. .

Academic Degrees
Year	Academic Department	Degree
2001	BI Norwegian Business School	Ph.D.
1996	Norwegian School of Economics	Master of Science in Business
1992	BI Norwegian Business School	Master of Management

Work Experience
Year	Employer	Job Title
2003 - Present	BI Norwegian Business School	Associate Professor
2001 - 2003	Stockholm Institute for Financial Research	Research Fellow
2001 - 2001	BI Norwegian Business School	Lecturer
1996 - 2000	BI Norwegian Business School	Research Fellow
1993 - 1993	BI Norwegian Business School	Research Assistant