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Carry trades, order flow and the forward bias puzzle

Breedon, Francis J.; Rime, Dagfinn; Vitale, Paolo - 2015

We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....

Persistent link: https://www.econbiz.de/10011396784