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forecasting power for exchange rates. Using one year of high frequency data collected via a live feed from Reuters for three major …
Persistent link: https://www.econbiz.de/10004972168
We study the microstructure of the MTS Global Market bond trading system. This system is the largest pan …
Persistent link: https://www.econbiz.de/10005791526
Using detailed data on currency transactions of institutional investors, this paper shows that funds that experience high returns on their currency holdings also execute currency trades at more favourable prices. This observation is consistent with foreign exchange dealers bidding for...
Persistent link: https://www.econbiz.de/10005788969
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...
Persistent link: https://www.econbiz.de/10011084052
is essentially zero. Instead of relying on macroeconomic determinants, our model includes a concept from microstructure … order flow. Order flow is the proximate determinant of price in all microstructure models. We explain aggregate equity …
Persistent link: https://www.econbiz.de/10005788997
We investigate the predictive information content in foreign exchange volatility risk premia for exchange rate returns. The volatility risk premium is the difference between realized volatility and a model-free measure of expected volatility that is derived from currency options, and reflects...
Persistent link: https://www.econbiz.de/10011084715
Standard present-value models suggest that exchange rates are driven by expected future fundamentals, implying that exchange rates contain information about future fundamentals. We test this key empirical prediction of present-value models in a sample of 35 currency pairs ranging from 1900 to...
Persistent link: https://www.econbiz.de/10011083568
Using novel real-time data on a broad set of economic fundamentals for five major US dollar exchange rates over the recent float, we employ a predictive procedure that allows the relationship between exchange rates and fundamentals to evolve over time in a very general fashion. Our key findings...
Persistent link: https://www.econbiz.de/10005123971
alternative models on the basis of standard statistical criteria; (ii) in out-of-sample forecasting, our model does not produce … terms of market timing ability and in density forecasting performance. The economic value of the density forecasts is …
Persistent link: https://www.econbiz.de/10005114365
As the European Community (EC) unifies its financial markets and fixes its exchange rates, the EFTA countries are liberalizing capital movements to the same extent. The EFTA countries thus face a decision on financial markets and exchange rate policy: should they essentially join the European...
Persistent link: https://www.econbiz.de/10005504364