Evans, Martin D. D. (contributor); … - 2006
. Roughly two-thirds of the total e�ect of macro news on the DM/$ exchange rate is transmitted via
order �ow.
Keywords … Exchange Rate Models�in September 2001
under the title, �Why Order Flow Explains Exchange Rates.� We thank an anonymous referee … one, news would still only account for 2 percent of
the total exchange rate variation. In fact, the R2 statistics in …