Geir Høidal Bjønnes

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

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

Magma - Tidsskrift for økonomi og ledelse, 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

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.

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.