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 黑料专区 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 黑料专区 School of Management, he is affiliated with the Stockholm Institute for Financial Research.
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
Doi:
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
The impact of different players on the volume-volatility relation in the foreign exchange market
33(1) , s. 43- 60. Doi: -
We examine the volume-volatility relation in the foreign exchange (FX) market using a unique data set from the Swedish krona (SEK) market that contains observations of 90–95 percent of all transactions from 1995 until 2002. We show that the strength of the volume-volatility relation depends on the group of market participants trading. Financial trading volume has the highest correlation with volatility. Interbank trading between the largest Market-making banks is also positively correlated with volatility, while trading among Other market-making banks show no correlation with volatility. Trading by Non-Financial customers is not correlated with volatility at all when controlling for trading by other market participants. Interestingly, we show that (unexpected) spot volume and changes in net positions (spot and forward) by Financial customers Granger cause spot volume and changes in net positions by Non-Financial customers. Our results clearly show that market participants in the FX market are heterogeneous, suggesting that differences in trading strategies and information may explain the volume-volatility relation.
Selv om valutamarkedet er verdens største finansmarked, og ofte brukes som skolebokeksempelet på et marked med «perfekt konkurranse», finner vi at markedsmakt og prisdiskriminering spiller en betydelig rolle. Bankene prisdiskriminerer kundene sine basert på tilgjengelig informasjon. Dette er mulig fordi banken kjenner kundens identitet før den stiller kjøps- og salgskurser. Kunder med god innsikt i hvordan markedet fungerer kan kjøpe og selge valuta til en svært lav kostnad. Tilsvarende oppnår kunder som handler ofte en volumrabatt. Resultatene tilsier at kundene i valutamarkedet, for eksempel import- og eksportbedrifter, kan spare penger ved å vise innsikt i markedet. Dette kan de for eksempel gjøre gjennom å skaffe tilgang til bankens elektroniske handleplattform, og ved å anvende handleplattformer der bankene må konkurrere om kundene.
Saakvitne, Jo Albertsen & Bjønnes, Geir Høidal (2015)
Hva skjer med det nordiske kraftderivatmarkedet om aktørene ikke får stille sikkerhet gjennom bankgarantier?
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
116(2) , s. 506- 538. Doi: -
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 黑料专区 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.
Korsvold, Pål E. & Høidal, Geir Bjønnes (2012)
Finansiell Risikostyring
Bjønnes, Geir Høidal & Rime, Dagfinn (2005)
Dealer behavior and trading systems in foreign exchange markets
75(3) , s. 571- 605. Doi:
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.
Isachsen, Arne Jon & Bjønnes, Geir Høidal (2005)
Hjelper til globale penger
Bjønnes, Geir Høidal; Rime, Dagfinn & Solheim, Haakon O. Aa (2005)
Volume and volatility in the FX market: Does it matter who you are?
Bjønnes, Geir Høidal; Rime, Dagfinn & Solheim, Haakon O. Aa (2005)
Liquidity provision in the overnight foreign exchange market
24(2) , s. 175- 196. Doi:
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.
The Role of Foreign Speculators in Speculative Attacks. The Case of 1998
Isachsen, Arne Jon & Bjønnes, Geir Høidal (2004)
Globale Penger
Bjønnes, Geir (1999)
Forventningsdannelse i futuresmarkeder for råolje og oljeprodukter
(2)
Bjønnes, Geir Høidal; Isachsen, Arne Jon & Stoknes, Svein (1998)
Den store gjettekonkurransen
(11)
Korsvold, Pål E. & Høidal, Geir Bjønnes (2012)
Oppgaver og løsninger
[Textbook].
Bjønnes, Geir Høidal & Jørgensen, Kjell (2011)
"Empirical Evidence on Algorithmic Trading: Strategies and Liquidity Provision"
[Conference Lecture]. Event
Bjønnes, Geir Høidal (2009)
The impact of different players on the volume-volatility relation in the foreign exchange market
[Conference Lecture]. Event
Bjønnes, Geir Høidal (2009)
Asymmetric Information in the Interbank Foreign Exchange Market
[Conference Lecture]. Event
Bjønnes, Geir Høidal (2009)
Asymmetric Information in the Interbank Foregin Exchange Market
[Conference Lecture]. Event
Bjønnes, Geir Høidal & Rime, Dagfinn (2004)
Electronic FX Trading -- influencing dealer behaviour?
[Professional Article]. (July) , s. 60- 62.
Bjønnes, Geir Høidal (2003)
Volume and volatility in the FX-market: Does it matter who you are?
[Report Research].
The relationship between volume and volatility has received much attention in the literature on financial markets. However, due to the lack of data, few results have been presented for the foreign exchange (FX) market. Furthermore, most studies contain only aggregate series, and cannot distinguish between the impact of different participants or instruments. We study the impact of volume on volatility in the FX market using a unique data set of daily trading in the Swedish krona (SEK) market. The data set covers 95 percent of worldwide SEK trading, and is disaggregated on a number of reporting banks’ buying and selling in five different instruments on a daily basis from 1995 until 2002. We find that volume in general shows a positive correlation with volatility. However, the strength of the relationship depends on the instrument traded and the identity of the reporting bank. In particular, we find that trading tends to concentrate around the largest banks during periods of high volatility. These banks are probably also best informed. This is especially the case when volatility is high. We interpret this as evidence that heterogeneous expectations are important to an understanding of the volume-volatility relationship.
