Order Flow and the Monetary Model of Exchange Rates : Evidence from a Novel Data Set

We propose an exchange rate model which is a hybrid of the conventional specification with monetary fundamentals and the Evans-Lyons microstructure approach. We estimate a model augmented with order flow variables, using a unique data set: almost 100 monthly observations on inter-dealer order flow on dollar/euro and dollar/yen. The augmented macroeconomic, or "hybrid", model exhibits greater in-sample stability and out of sample forecasting improvement vis à vis the basic macroeconomic and random walk specifications

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Year of publication:	2019
Authors:	Moore, Michael
Other Persons:	Chinn, Menzie David (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Monetäre Wechselkurstheorie \| Monetary approach to exchange rates \| Japan \| EU-Staaten \| EU countries \| Prognoseverfahren \| Forecasting model \| Marktmikrostruktur \| Market microstructure \| Stichprobenerhebung \| Sampling \| Wechselkurs \| Exchange rate
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Money, Credit, and Banking, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 3, 2011 erstellt Volltext nicht verfügbar
Classification:	D82 - Asymmetric and Private Information ; E41 - Demand for Money ; F31 - Foreign Exchange ; F47 - Forecasting and Simulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012905887