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. Using ten years of data on FX order flow we find that more than …

rational explanation of the strong home bias observed in US investors' asset allocation, based on regime switching, skew and …

Eurostat's Comext and Prodcom databases. A gravity application delivers a large set of product-level 'home bias' estimates …

this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis … produces systematically better forecasts than a random walk for most of the countries, and at any forecast horizon, including …