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Evans, Martin D.D. - 1999

Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...

Persistent link: https://www.econbiz.de/10012471467

Traders, Market Microstructure and Exchange Rate Dynamics

Cheung, Yin-Wong - 1999

We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) The share of customer business, versus interbank business, has remained fairly constant; (ii) The channels by which transactions take place have changed, as electronically-brokered...

Persistent link: https://www.econbiz.de/10012471365

Foreign Exchange Order Flow as a Risk Factor

Burnside, Craig - 2020

This paper proposes a set of novel pricing factors for currency returns that are motivated by microstructure models. In so doing, we bring two strands of the exchange rate literature, namely market-microstructure and risk-based models, closer together. Our novel factors use order flow data to...

Persistent link: https://www.econbiz.de/10012481782

Microstructure of the Yen/Dollar Foreign Exchange Market : Patterns of Intra-day Activity Revealed in the Electronic Broking System

Ito, Takatoshi - 2004

This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets -- Tokyo, London, and...

Persistent link: https://www.econbiz.de/10012467833

Inventory Information

Cao, H. Henry - 2003

In a market with symmetric information about fundamentals, can information-based trade still arise? Consider bond and FX markets, where private information about nominal cash flows is generally absent, but participants are convinced that superior information exists. We analyze a class of...

Persistent link: https://www.econbiz.de/10012468804

Explanations of Exchange Rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market

Flood, Robert P. - 1981

. exchange-rate volatility. B. The observed pattern of spot exchange-rate vs. forward exchange-rate volatility. Second, a widely … neglected reason for exchange-rate volatility, activist monetary policy, will be studied …

Persistent link: https://www.econbiz.de/10012478498

Fixed versus Flexible : Lessons from EMS Order Flow

Killeen, William P. - 2001

This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two … induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the …

Persistent link: https://www.econbiz.de/10012470227

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth A. - 1987

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012476706

Japan's Big Bang and the Transformation of Financial Markets

Ito, Takatoshi - 1999

examines how the bid-ask spread and conditional volatility in the yen/dollar foreign exchange market changed around the time of … volatility, the deregulation was associated with a convergence of Japanese quoted spreads toward those of other banks. (2 …) Modeling the persistence in volatility reveals that deregulation lowered conditional volatility …

Persistent link: https://www.econbiz.de/10012471543

Currency Carry Trade Regimes : Beyond the Fama Regression

Clarida, Richard - 2009

relationship between carry trade excess returns and exchange rate volatility, both realized and implied. Specifically, we extend … persistent excess returns that unwind sharply resulting in losses when actual and implied volatility rise …We next also document significant volatility regime sensitivity for Fama regressions estimated over low and high …

Persistent link: https://www.econbiz.de/10012463126

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