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.
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
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
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
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.