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Dagfinn Rime

Professor - Institutt for finans

Biografi

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Rime's primary research interest are in international finance, in particular the microstructure of foreign exchange markets, and empirical asset pricing. His papers have been published in journals like Journal of Financial Economics, Journal of Monetary Economics, and Journal of International Economics, among others. Dagfinn received his PhD from the BI Norwegian Business School in 2001. Prior to moving to BI in March 2014 he was a researcher in the the Norges Bank (central bank of Norway). He has also been a visiting research fellow at SIFR (Stockholm) 2001-2006, and adjunct professor at the Norwegian University of Science and Technology (NTNU).

Key publications

Publikasjoner

Breedon, Francis; Rime, Dagfinn & Vitale, Paolo (2016)

Carry Trades, Order Flow and the Forward Bias Puzzle

Journal of Money, Credit and Banking, 48(6), s. 1113- 1134. Doi: 10.1111/jmcb.12328

Fratzscher, Marcel; Rime, Dagfinn, Sarno, Lucio & Zinna, Gabriele (2015)

The scapegoat theory of exchange rates: The first tests

Journal of Monetary Economics, 70, s. 1- 21. Doi: 10.1016/j.jmoneco.2014.09.001

Rime, Dagfinn; Sarno, Lucio & Sojli, Elvira (2010)

Exchange rate forecasting, order flow and macroeconomic information

Journal of International Economics, 80(1), s. 72- 88. Doi: 10.1016/j.jinteco.2009.03.005

This paper adds to the research efforts that aim to bridge the divide between macro and micro approaches to exchange rate economics by examining the linkages between exchange rate movements, order flow and expectations of macroeconomic variables. The basic hypothesis tested is that if order flow reflects heterogeneous expectations about macroeconomic fundamentals, and currency markets learn about the state of the economy gradually, then order flow can have both explanatory and forecasting power for exchange rates. Using one year of high frequency data collected via a live feed from Reuters for three major exchange rates, we find that: i) order flow is intimately related to a broad set of current and expected macroeconomic fundamentals; ii) more importantly, order flow is a powerful predictor of daily movements in exchange rates in an out-of-sample exercise, on the basis of economic value criteria such as Sharpe ratios and performance fees implied by utility calculations.

Akram, Qaisar Farooq; Rime, Dagfinn & Sarno, Lucio (2008)

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Journal of International Economics, 76, s. 237- 253. Doi: 10.1016/j.jinteco.2008.07.004

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.

Evans, Martin D.D. & Rime, Dagfinn (2016)

Order flow information and spot rate dynamics

Journal of International Money and Finance, 69(Dec.), s. 45- 68. Doi: 10.1016/j.jimonfin.2016.06.018

Breedon, Francis; Rime, Dagfinn & Vitale, Paolo (2016)

Carry Trades, Order Flow and the Forward Bias Puzzle

Journal of Money, Credit and Banking, 48(6), s. 1113- 1134. Doi: 10.1111/jmcb.12328

Breedon, Francis; Rime, Dagfinn & Vitale, Paolo (2016)

Carry Trades, Order Flow and the Forward Bias Puzzle

Journal of Money, Credit and Banking, 48(6), s. 1113- 1134. Doi: 10.1111/jmcb.12328

Fratzscher, Marcel; Rime, Dagfinn, Sarno, Lucio & Zinna, Gabriele (2015)

The scapegoat theory of exchange rates: The first tests

Journal of Monetary Economics, 70, s. 1- 21. Doi: 10.1016/j.jmoneco.2014.09.001

Fratzscher, Marcel; Rime, Dagfinn, Sarno, Lucio & Zinna, Gabriele (2015)

The scapegoat theory of exchange rates: The first tests

Journal of Monetary Economics, 70, s. 1- 21. Doi: 10.1016/j.jmoneco.2014.09.001

Cheung, Yin-Wong & Rime, Dagfinn (2014)

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

Journal of International Money and Finance, 49, s. 170- 189. Doi: 10.1016/j.jimonfin.2014.05.012 - Fulltekst i vitenarkiv

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 - Fulltekst i vitenarkiv

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.

King, Michael R.; Osler, Carol L. & Rime, Dagfinn (2013)

The market micorstructure approach to foreign exchange: Looking back and looking forward

Journal of International Money and Finance, 38, s. 95- 119. Doi: 10.1016/j.jimonfin.2013.05.004

Rime, Dagfinn & Tranvåg, Hans Jørgen (2012)

Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence

Pacific Economic Review, 17(3), s. 434- 466. Doi: 10.1111/j.1468-0106.2012.00592.x

Rime, Dagfinn; Sarno, Lucio & Sojli, Elvira (2010)

Exchange rate forecasting, order flow and macroeconomic information

Journal of International Economics, 80(1), s. 72- 88. Doi: 10.1016/j.jinteco.2009.03.005

This paper adds to the research efforts that aim to bridge the divide between macro and micro approaches to exchange rate economics by examining the linkages between exchange rate movements, order flow and expectations of macroeconomic variables. The basic hypothesis tested is that if order flow reflects heterogeneous expectations about macroeconomic fundamentals, and currency markets learn about the state of the economy gradually, then order flow can have both explanatory and forecasting power for exchange rates. Using one year of high frequency data collected via a live feed from Reuters for three major exchange rates, we find that: i) order flow is intimately related to a broad set of current and expected macroeconomic fundamentals; ii) more importantly, order flow is a powerful predictor of daily movements in exchange rates in an out-of-sample exercise, on the basis of economic value criteria such as Sharpe ratios and performance fees implied by utility calculations.

Rime, Dagfinn; Sarno, Lucio & Sojli, Elvira (2010)

Exchange rate forecasting, order flow and macroeconomic information

Journal of International Economics, 80(1), s. 72- 88. Doi: 10.1016/j.jinteco.2009.03.005

This paper adds to the research efforts that aim to bridge the divide between macro and micro approaches to exchange rate economics by examining the linkages between exchange rate movements, order flow and expectations of macroeconomic variables. The basic hypothesis tested is that if order flow reflects heterogeneous expectations about macroeconomic fundamentals, and currency markets learn about the state of the economy gradually, then order flow can have both explanatory and forecasting power for exchange rates. Using one year of high frequency data collected via a live feed from Reuters for three major exchange rates, we find that: i) order flow is intimately related to a broad set of current and expected macroeconomic fundamentals; ii) more importantly, order flow is a powerful predictor of daily movements in exchange rates in an out-of-sample exercise, on the basis of economic value criteria such as Sharpe ratios and performance fees implied by utility calculations.

Akram, Q. Farooq; Rime, Dagfinn & Sarno, Lucio (2009)

Does the law of one price hold in international financial markets? Evidence from tick data

Journal of Banking & Finance, 33(10), s. 1741- 1754. Doi: 10.1016/j.jbankfin.2008.10.012

This paper investigates the validity of the law of one price (LOP) in international financial markets by examining the frequency, size and duration of inter-market price differentials for borrowing and lending services (‘one-way arbitrage’). Using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick frequency, we find that the LOP holds on average, but numerous economically significant violations of the LOP arise. The duration of these violations is high enough to make it worthwhile searching for one-way arbitrage opportunities in order to minimize borrowing costs and/or maximize earnings on given funds. We also document that such opportunities decline with the pace of the market and increase with market volatility.

Sucarrat, Genaro; Bauwens, Luc & Rime, Dagfinn (2008)

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Bauwenns, Luc; Pohlmeier, Winfried & Veredas, David (red.). High-Frequency Financial Econometrics

Akram, Qaisar Farooq; Rime, Dagfinn & Sarno, Lucio (2008)

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Journal of International Economics, 76, s. 237- 253. Doi: 10.1016/j.jinteco.2008.07.004

Akram, Qaisar Farooq; Rime, Dagfinn & Sarno, Lucio (2008)

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Journal of International Economics, 76, s. 237- 253. Doi: 10.1016/j.jinteco.2008.07.004

Bauwens, Luc; Rime, Dagfinn & Sucarrat, Genaro (2005)

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Empirical Economics, 30, s. 889- 911. Doi: 10.1007/s00181-005-0005-x

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 (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

Rime, Dagfinn (2003)

New Electronic Trading Systems in the Foreign Exchange Market

Jones, Derek C. (red.). New Economy Handbook

Goodhart, Charles; Love, Ryan, Payne, Richard & Rime, Dagfinn (2002)

Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets

Economic Policy: A European Forum, 17, s. 536- 552. Doi: 10.1111/1468-0327.00096

Rime, Dagfinn (2017)

Bitcoin er en boble, og bobler sprekker

E24 [Fagblad]

Rime, Dagfinn (2017)

SSB vil stivne uten akademisk forskning

VG [Avis]

Rime, Dagfinn & Tretvoll, Håkon (2016)

Dollarsmell for Forsvaret

Dagens Næringsliv [Avis]

Evans, Martin D.D. & Rime, Dagfinn (2012)

Micro Approaches to Foreign Exchange Determination

James, Jessica; Marsh, Ian & Sarno, Lucio (red.). Handbook of Exchange Rates

King, Michael R.; Osler, Carol L. & Rime, Dagfinn (2012)

Foreign exchange market structure, players and evolution

James, Jessica; Marsh, Ian & Sarno, Lucio (red.). Handbook of Exchange Rates

King, Michael R. & Rime, Dagfinn (2011)

Algorithmic Trading and FX Market Liquidity

[Article in business/trade/industry journal]. CFA Magazine, 22(3), s. 15- 17. Doi: 10.2469/cfm.v22.n3.5

Jacobsen, Dag Henning & Rime, Dagfinn (2005)

Tobin-skatten: Perspektiver fra mikro-finans

[Popular scientific article]. Økonomisk forum, s. 26- 34.

Bjønnes, Geir Høidal & Rime, Dagfinn (2004)

Electronic FX Trading -- influencing dealer behaviour?

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

Akademisk grad
År Akademisk institusjon Grad
2001 BI Norwegian Business School PhD
Arbeidserfaring
År Arbeidsgiver Tittel
2014 - Present BI Norwegian Business School Professor
2001 - 2014 Norges Bank Manager (2008-09) and researcher in Research dept; Economist in Markets Operation dept. (2010-11)
2006 - 2012 Norwegian University of Science and Technology, NTNU Adjunct professor
2001 - 2006 Stockholm Institute for Financial Research Visiting research fellow
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