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Persistence, Performance and Prices in Foreign Exchange Markets
Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2006
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
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Marketwide Private Information in Stocks: Forecasting Currency Returns
Albuquerque, Rui; de Francisco, Eva; Marques, Luis - C.E.P.R. Discussion Papers - 2006
We present a model of equity trading with informed and uninformed investors where informed investors act upon firm-specific private information and marketwide private information. The model is used to structurally identify the component of order flow that is due to marketwide private...
Persistent link: https://www.econbiz.de/10005791258
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An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates
Breedon, Francis; Vitale, Paolo - C.E.P.R. Discussion Papers - 2004
We propose a simple structural model of exchange rate determination that draws from the analytical framework recently proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow on exchange rates. We estimate this model employing...
Persistent link: https://www.econbiz.de/10005791428
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Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms
Cheung, Yiu Chung; de Jong, Frank; Rindi, Barbara - C.E.P.R. Discussion Papers - 2004
We study the microstructure of the MTS Global Market bond trading system. This system is the largest pan-European interdealer trading system for Eurozone government bonds. We study the volume weighted quoted spread and a variety of effective spread measures for different classes of bond...
Persistent link: https://www.econbiz.de/10005791526
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A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination
Vitale, Paolo - C.E.P.R. Discussion Papers - 2004
We propose a critical review of recent developments in exchange rate economics. This new strand of research is motivated by some very stark empirical evidence, relating exchange rate returns to order flow. Plenty of empirical evidence shows that order flow, i.e. the imbalance in the sequence of...
Persistent link: https://www.econbiz.de/10005791898
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Exchange Rate Forecasting, Order Flow and Macroeconomic Information
Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira - C.E.P.R. Discussion Papers - 2009
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...
Persistent link: https://www.econbiz.de/10004972168
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A Market Microstructure Analysis of Foreign Exchange Intervention
Vitale, Paolo - C.E.P.R. Discussion Papers - 2006
We formulate a market microstructure model of exchange determination we employ to investigate the impact of foreign exchange intervention on exchange rates and on foreign exchange (FX) market conditions. With our formulation we show i) how foreign exchange intervention in°uences exchange rates...
Persistent link: https://www.econbiz.de/10005123903
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Optimal Informed Trading in the Foreign Exchange Market
Vitale, Paolo - C.E.P.R. Discussion Papers - 2007
between the private value of information, market efficiency, liquidity and exchange rate volatility. Our model is also …
Persistent link: https://www.econbiz.de/10005656205
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The Scapegoat Theory of Exchange Rates: The First Tests
Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - C.E.P.R. Discussion Papers - 2012
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011 …. This theory suggests that market participants may at times attach significantly more weight to individual economic … empirical evidence that strongly supports the empirical implications of the scapegoat theory of exchange rates, with the …
Persistent link: https://www.econbiz.de/10011084052
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Volatility Risk Premia and Exchange Rate Predictability
Della Corte, Pasquale; Ramadorai, Tarun; Sarno, Lucio - C.E.P.R. Discussion Papers - 2013
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 the cost of insurance against volatility ‡fluctuations in the …
Persistent link: https://www.econbiz.de/10011084715